def test_expanding_consistency_cov(consistency_data, min_periods):
x, is_constant, no_nans = consistency_data
moments_consistency_cov_data(
x=x,
var_unbiased=lambda x: x.expanding(min_periods=min_periods).var(),
cov_unbiased=lambda x, y: x.expanding(min_periods=min_periods).cov(y),
var_biased=lambda x: x.expanding(min_periods=min_periods).var(ddof=0),
cov_biased=lambda x, y: x.expanding(min_periods=min_periods).cov(y, ddof=0),
)
def test_rolling_consistency_cov(consistency_data, window, min_periods,
center):
x, is_constant, no_nans = consistency_data
moments_consistency_cov_data(
x=x,
var_unbiased=lambda x: (x.rolling(
window=window, min_periods=min_periods, center=center).var()),
cov_unbiased=lambda x, y: (x.rolling(
window=window, min_periods=min_periods, center=center).cov(y)),
var_biased=lambda x:
(x.rolling(window=window, min_periods=min_periods, center=center).var(
ddof=0)),
cov_biased=lambda x, y:
(x.rolling(window=window, min_periods=min_periods, center=center).cov(
y, ddof=0)),
)
def test_ewm_consistency_cov(consistency_data, min_periods, adjust, ignore_na):
x, is_constant, no_nans = consistency_data
com = 3.0
moments_consistency_cov_data(
x=x,
var_unbiased=lambda x: (x.ewm(com=com,
min_periods=min_periods,
adjust=adjust,
ignore_na=ignore_na).var(bias=False)),
cov_unbiased=lambda x, y:
(x.ewm(com=com,
min_periods=min_periods,
adjust=adjust,
ignore_na=ignore_na).cov(y, bias=False)),
var_biased=lambda x: (x.ewm(com=com,
min_periods=min_periods,
adjust=adjust,
ignore_na=ignore_na).var(bias=True)),
cov_biased=lambda x, y: (x.ewm(com=com,
min_periods=min_periods,
adjust=adjust,
ignore_na=ignore_na).cov(y, bias=True)),
)