예제 #1
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    def test_rolling_corr_pairwise(self):
        panel = mom.rolling_corr_pairwise(self.frame, 10, min_periods=5)

        correl = panel.ix[:, 1, 5]
        exp = mom.rolling_corr(self.frame[1], self.frame[5],
                               10, min_periods=5)
        tm.assert_series_equal(correl, exp)
예제 #2
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    def test_rolling_corr_pairwise(self):
        panel = mom.rolling_corr_pairwise(self.frame, 10, min_periods=5)

        correl = panel.ix[:, 1, 5]
        exp = mom.rolling_corr(self.frame[1], self.frame[5],
                               10, min_periods=5)
        tm.assert_series_equal(correl, exp)
예제 #3
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    def test_expanding_corr_pairwise(self):
        result = mom.expanding_corr_pairwise(self.frame)

        rolling_result = mom.rolling_corr_pairwise(self.frame,
                                                   len(self.frame),
                                                   min_periods=1)

        for i in result.items:
            assert_almost_equal(result[i], rolling_result[i])
예제 #4
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    def test_expanding_corr_pairwise(self):
        result = mom.expanding_corr_pairwise(self.frame)

        rolling_result = mom.rolling_corr_pairwise(self.frame,
                                                   len(self.frame),
                                                   min_periods=1)

        for i in result.items:
            assert_almost_equal(result[i], rolling_result[i])
예제 #5
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    def test_rolling_functions_window_non_shrinkage(self):
        # GH 7764
        s = Series(range(4))
        s_expected = Series(np.nan, index=s.index)
        df = DataFrame([[1, 5], [3, 2], [3, 9], [-1, 0]], columns=['A', 'B'])
        df_expected = DataFrame(np.nan, index=df.index, columns=df.columns)
        df_expected_panel = Panel(items=df.index,
                                  major_axis=df.columns,
                                  minor_axis=df.columns)

        functions = [
            lambda x: mom.rolling_cov(
                x, x, pairwise=False, window=10, min_periods=5),
            lambda x: mom.rolling_corr(
                x, x, pairwise=False, window=10, min_periods=5),
            lambda x: mom.rolling_max(x, window=10, min_periods=5),
            lambda x: mom.rolling_min(x, window=10, min_periods=5),
            lambda x: mom.rolling_sum(x, window=10, min_periods=5),
            lambda x: mom.rolling_mean(x, window=10, min_periods=5),
            lambda x: mom.rolling_std(x, window=10, min_periods=5),
            lambda x: mom.rolling_var(x, window=10, min_periods=5),
            lambda x: mom.rolling_skew(x, window=10, min_periods=5),
            lambda x: mom.rolling_kurt(x, window=10, min_periods=5),
            lambda x: mom.rolling_quantile(
                x, quantile=0.5, window=10, min_periods=5),
            lambda x: mom.rolling_median(x, window=10, min_periods=5),
            lambda x: mom.rolling_apply(x, func=sum, window=10, min_periods=5),
            lambda x: mom.rolling_window(
                x, win_type='boxcar', window=10, min_periods=5),
        ]
        for f in functions:
            try:
                s_result = f(s)
                assert_series_equal(s_result, s_expected)

                df_result = f(df)
                assert_frame_equal(df_result, df_expected)
            except (ImportError):

                # scipy needed for rolling_window
                continue

        functions = [
            lambda x: mom.rolling_cov(
                x, x, pairwise=True, window=10, min_periods=5),
            lambda x: mom.rolling_corr(
                x, x, pairwise=True, window=10, min_periods=5),
            # rolling_corr_pairwise is depracated, so the following line should be deleted
            # when rolling_corr_pairwise is removed.
            lambda x: mom.rolling_corr_pairwise(x, x, window=10, min_periods=5
                                                ),
        ]
        for f in functions:
            df_result_panel = f(df)
            assert_panel_equal(df_result_panel, df_expected_panel)
예제 #6
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    def test_rolling_functions_window_non_shrinkage(self):
        # GH 7764
        s = Series(range(4))
        s_expected = Series(np.nan, index=s.index)
        df = DataFrame([[1,5], [3, 2], [3,9], [-1,0]], columns=['A','B'])
        df_expected = DataFrame(np.nan, index=df.index, columns=df.columns)
        df_expected_panel = Panel(items=df.index, major_axis=df.columns, minor_axis=df.columns)

        functions = [lambda x: mom.rolling_cov(x, x, pairwise=False, window=10, min_periods=5),
                     lambda x: mom.rolling_corr(x, x, pairwise=False, window=10, min_periods=5),
                     lambda x: mom.rolling_max(x, window=10, min_periods=5),
                     lambda x: mom.rolling_min(x, window=10, min_periods=5),
                     lambda x: mom.rolling_sum(x, window=10, min_periods=5),
                     lambda x: mom.rolling_mean(x, window=10, min_periods=5),
                     lambda x: mom.rolling_std(x, window=10, min_periods=5),
                     lambda x: mom.rolling_var(x, window=10, min_periods=5),
                     lambda x: mom.rolling_skew(x, window=10, min_periods=5),
                     lambda x: mom.rolling_kurt(x, window=10, min_periods=5),
                     lambda x: mom.rolling_quantile(x, quantile=0.5, window=10, min_periods=5),
                     lambda x: mom.rolling_median(x, window=10, min_periods=5),
                     lambda x: mom.rolling_apply(x, func=sum, window=10, min_periods=5),
                     lambda x: mom.rolling_window(x, win_type='boxcar', window=10, min_periods=5),
                    ]
        for f in functions:
            try:
                s_result = f(s)
                assert_series_equal(s_result, s_expected)

                df_result = f(df)
                assert_frame_equal(df_result, df_expected)
            except (ImportError):

                # scipy needed for rolling_window
                continue

        functions = [lambda x: mom.rolling_cov(x, x, pairwise=True, window=10, min_periods=5),
                     lambda x: mom.rolling_corr(x, x, pairwise=True, window=10, min_periods=5),
                     # rolling_corr_pairwise is depracated, so the following line should be deleted
                     # when rolling_corr_pairwise is removed.
                     lambda x: mom.rolling_corr_pairwise(x, x, window=10, min_periods=5),
                    ]
        for f in functions:
            df_result_panel = f(df)
            assert_panel_equal(df_result_panel, df_expected_panel)