Python min_cov_determinant Examples

Example #1

File: test_risk_models.py Project: yury6472/PyPortfolioOpt

def test_min_cov_det():
    df = get_data()
    S = risk_models.min_cov_determinant(df, random_state=8)
    assert S.shape == (20, 20)
    assert S.index.equals(df.columns)
    assert S.index.equals(S.columns)
    assert S.notnull().all().all()
    S2 = risk_models.min_cov_determinant(df, frequency=2, random_state=8)
    pd.testing.assert_frame_equal(S / 126, S2)

Example #2

File: test_risk_models.py Project: robertmartin8/PyPortfolioOpt

def test_min_cov_det():
    df = get_data()
    S = risk_models.min_cov_determinant(df, random_state=8)
    assert S.shape == (20, 20)
    assert S.index.equals(df.columns)
    assert S.index.equals(S.columns)
    assert S.notnull().all().all()
    S2 = risk_models.min_cov_determinant(df, frequency=2, random_state=8)
    pd.testing.assert_frame_equal(S / 126, S2)

Example #3

File: test_risk_models.py Project: timestap/PyPortfolioOpt

def test_min_cov_det():
    df = get_data()
    S = risk_models.min_cov_determinant(df, random_state=8)
    assert S.shape == (20, 20)
    assert S.index.equals(df.columns)
    assert S.index.equals(S.columns)
    assert S.notnull().all().all()
    # Min cov det is NOT positive semidefinite for this example.
    # Warning has been added to docs.
    # assert risk_models._is_positive_semidefinite(S)

    S2 = risk_models.min_cov_determinant(df, frequency=2, random_state=8)
    pd.testing.assert_frame_equal(S / 126, S2)

Example #4

def test_min_cov_det():
    df = get_data()
    S = risk_models.min_cov_determinant(df, random_state=8)
    assert S.shape == (20, 20)
    assert S.index.equals(df.columns)
    assert S.index.equals(S.columns)
    assert S.notnull().all().all()
    # assert risk_models._is_positive_semidefinite(S)
    # Cover that it works on np.ndarray, with a warning
    with pytest.warns(RuntimeWarning):
        S2 = risk_models.min_cov_determinant(df.to_numpy(), random_state=8)
        assert isinstance(S2, pd.DataFrame)
        np.testing.assert_equal(S.to_numpy(), S2.to_numpy())

Example #5

File: test_risk_models.py Project: ziyuehcen0/PyPortfolioOpt

def test_min_cov_det():
    df = get_data()
    S = risk_models.min_cov_determinant(df, random_state=8)
    assert S.shape == (20, 20)
    assert S.index.equals(df.columns)
    assert S.index.equals(S.columns)
    assert S.notnull().all().all()