Repository: xgcm/xhistogram

Issue:
Bug with density calculation when NaNs are present
There is a bug in the way histograms are normalised to densities that manifests when there are NaNs in the input data:

```python
import numpy as np
import xarray as xr
import matplotlib.pyplot as plt
from xhistogram.xarray import histogram

data = np.random.normal(size=(10,2))
# Add some nans
N_nans = 6
data.ravel()[np.random.choice(data.size, N_nans, replace=False)] = np.nan
bins = np.linspace(-5,5,5)
bin_centers = 0.5 * (bins[:-1] + bins[1:])

# np.histogram -----
h, _ = np.histogram(data[:,0], bins, density=True)
plt.plot(bin_centers, h, label='numpy histogram')
  
# xhistogram -----
da = xr.DataArray(
    data, dims=['s', 'x'], 
    coords=[range(data.shape[0]), 
            range(data.shape[1])]).rename('test')
h2 = histogram(da, bins=[bins], dim=['s'], density=True)
plt.plot(bin_centers, h2[0,:], linestyle='--', label='xhistogram')

plt.legend()
plt.xlabel('bins')
plt.ylabel('pdf')
```
<img width="399" alt="Screen Shot 2021-05-05 at 8 31 17 pm" src="https://user-images.githubusercontent.com/42455466/117128520-df907d00-ade0-11eb-9452-641c2b779633.png">

This bug comes about when there are dimensions that are not being histogram'd ("bystander" dimensions). Currently we sum over all axis to estimate the area/volume of our histogram and then account bystander dimensions [as a secondary step](https://github.com/xgcm/xhistogram/blob/master/xhistogram/xarray.py#L180). However, this can produce incorrect results when NaNs are present because there may be a different number of NaNs along each bystander dimension.

Comments:

Patch:
diff --git a/doc/contributing.rst b/doc/contributing.rst
index 5dac01f..aa787a4 100644
--- a/doc/contributing.rst
+++ b/doc/contributing.rst
@@ -140,8 +140,12 @@ Preparing Pull Requests
 Release History
 ---------------
 
+
 v0.2.1 (not yet released)
 ~~~~~~~~~~~~~~~~~~~~~~~~~
+
+- Fixed bug with density calculation when NaNs are present :issue:`51`.
+  By `Dougie Squire <https://github.com/dougiesquire>`_.
 - Implemented various options for users for providing bins to
   xhistogram that mimic the numpy histogram API. This included
   adding a range argument to the xhistogram API :issue:`13`.
diff --git a/xhistogram/core.py b/xhistogram/core.py
index c13dda9..48f31c9 100644
--- a/xhistogram/core.py
+++ b/xhistogram/core.py
@@ -436,7 +436,13 @@ def histogram(
             # Slower, but N-dimensional logic
             bin_areas = np.prod(np.ix_(*bin_widths))
 
-        h = bin_counts / bin_areas / bin_counts.sum()
+        # Sum over the last n_inputs axes, which correspond to the bins. All other axes
+        # are "bystander" axes. Sums must be done independently for each bystander axes
+        # so that nans are dealt with correctly (#51)
+        bin_axes = tuple(_range(-n_inputs, 0))
+        bin_count_sums = bin_counts.sum(axis=bin_axes)
+        bin_count_sums_shape = bin_count_sums.shape + len(bin_axes) * (1,)
+        h = bin_counts / bin_areas / reshape(bin_count_sums, bin_count_sums_shape)
     else:
         h = bin_counts
 
diff --git a/xhistogram/xarray.py b/xhistogram/xarray.py
index a587abc..922fc26 100644
--- a/xhistogram/xarray.py
+++ b/xhistogram/xarray.py
@@ -197,11 +197,6 @@ def histogram(
 
     da_out = xr.DataArray(h_data, dims=output_dims, coords=all_coords, name=output_name)
 
-    if density:
-        # correct for overcounting the bins which weren't histogrammed along
-        n_bins_bystander_dims = da_out.isel(**{bd: 0 for bd in new_dims}).size
-        da_out = da_out * n_bins_bystander_dims
-
     return da_out
 
     # we need weights to be passed through apply_func's alignment algorithm,


Test patch:
diff --git a/xhistogram/test/test_core.py b/xhistogram/test/test_core.py
index f6ebcc3..3a692c6 100644
--- a/xhistogram/test/test_core.py
+++ b/xhistogram/test/test_core.py
@@ -24,12 +24,17 @@ range_ = (0, 1)
 @pytest.mark.parametrize("axis", [1, None])
 @pytest.mark.parametrize("bins", [10, np.linspace(-4, 4, 10), "auto"])
 @pytest.mark.parametrize("range_", [None, (-4, 4)])
-def test_histogram_results_1d(block_size, density, axis, bins, range_):
+@pytest.mark.parametrize("add_nans", [False, True])
+def test_histogram_results_1d(block_size, density, axis, bins, range_, add_nans):
     nrows, ncols = 5, 20
     # Setting the random seed here prevents np.testing.assert_allclose
     # from failing beow. We should investigate this further.
     np.random.seed(2)
     data = np.random.randn(nrows, ncols)
+    if add_nans:
+        N_nans = 20
+        data.ravel()[np.random.choice(data.size, N_nans, replace=False)] = np.nan
+    bins = np.linspace(-4, 4, 10)
 
     h, bin_edges = histogram(
         data, bins=bins, range=range_, axis=axis, block_size=block_size, density=density
@@ -53,12 +58,11 @@ def test_histogram_results_1d(block_size, density, axis, bins, range_):
         )
     else:
         expected = np.histogram(data, bins=bins, range=range_, density=density)[0]
-    norm = nrows if (density and axis) else 1
-    np.testing.assert_allclose(h, expected / norm)
+    np.testing.assert_allclose(h, expected)
 
     if density:
-        widths = np.diff(bin_edges)
-        integral = np.sum(h * widths)
+        widths = np.diff(bins)
+        integral = np.sum(h * widths, axis)
         np.testing.assert_allclose(integral, 1.0)
 
 
@@ -150,10 +154,15 @@ def test_histogram_results_2d_broadcasting(dask):
     np.testing.assert_array_equal(hist, h)
 
 
-def test_histogram_results_2d_density():
+@pytest.mark.parametrize("add_nans", [False, True])
+def test_histogram_results_2d_density(add_nans):
     nrows, ncols = 5, 20
     data_a = np.random.randn(nrows, ncols)
     data_b = np.random.randn(nrows, ncols)
+    if add_nans:
+        N_nans = 20
+        data_a.ravel()[np.random.choice(data_a.size, N_nans, replace=False)] = np.nan
+        data_b.ravel()[np.random.choice(data_b.size, N_nans, replace=False)] = np.nan
     nbins_a = 9
     bins_a = np.linspace(-4, 4, nbins_a + 1)
     nbins_b = 10
@@ -175,11 +184,17 @@ def test_histogram_results_2d_density():
     np.testing.assert_allclose(integral, 1.0)
 
 
-def test_histogram_results_3d_density():
+@pytest.mark.parametrize("add_nans", [False, True])
+def test_histogram_results_3d_density(add_nans):
     nrows, ncols = 5, 20
     data_a = np.random.randn(nrows, ncols)
     data_b = np.random.randn(nrows, ncols)
     data_c = np.random.randn(nrows, ncols)
+    if add_nans:
+        N_nans = 20
+        data_a.ravel()[np.random.choice(data_a.size, N_nans, replace=False)] = np.nan
+        data_b.ravel()[np.random.choice(data_b.size, N_nans, replace=False)] = np.nan
+        data_c.ravel()[np.random.choice(data_c.size, N_nans, replace=False)] = np.nan
     nbins_a = 9
     bins_a = np.linspace(-4, 4, nbins_a + 1)
     nbins_b = 10