def test__rebuild_correlation_matrix_outside(self):
"""Test ``_rebuild_correlation_matrix`` with an invalid correlation input.
If the input contains values outside -1 and 1, the method is expected
to scale them down to the valid range.
Input:
- list of lists with values outside of -1 and 1
Expected Output:
- numpy array with the square correlation matrix
"""
# Run
triangular_covariance = [
[1.0],
[2.0, 1.0]
]
correlation = GaussianCopula._rebuild_correlation_matrix(triangular_covariance)
# Assert
expected = [
[1.0, 0.5, 1.0],
[0.5, 1.0, 0.5],
[1.0, 0.5, 1.0]
]
assert expected == correlation
def test__rebuild_correlation_matrix_valid(self):
"""Test ``_rebuild_correlation_matrix`` with a valid correlation input.
If the input contains values between -1 and 1, the method is expected
to simply rebuild the square matrix with the same values.
Input:
- list of lists with values between -1 and 1
Expected Output:
- numpy array with the square correlation matrix
"""
# Run
triangular_covariance = [
[0.1],
[0.2, 0.3]
]
correlation = GaussianCopula._rebuild_correlation_matrix(triangular_covariance)
# Assert
expected = [
[1.0, 0.1, 0.2],
[0.1, 1.0, 0.3],
[0.2, 0.3, 1.0]
]
assert expected == correlation
