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)), )