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)
def test_rolling_cov_diff_length(self):
# GH 7512
s1 = Series([1, 2, 3], index=[0, 1, 2])
s2 = Series([1, 3], index=[0, 2])
result = mom.rolling_cov(s1, s2, window=3, min_periods=2)
expected = Series([None, None, 2.0])
assert_series_equal(result, expected)
s2a = Series([1, None, 3], index=[0, 1, 2])
result = mom.rolling_cov(s1, s2a, window=3, min_periods=2)
assert_series_equal(result, expected)
def test_rolling_cov_diff_length(self):
# GH 7512
s1 = Series([1, 2, 3], index=[0, 1, 2])
s2 = Series([1, 3], index=[0, 2])
result = mom.rolling_cov(s1, s2, window=3, min_periods=2)
expected = Series([None, None, 2.0])
assert_series_equal(result, expected)
s2a = Series([1, None, 3], index=[0, 1, 2])
result = mom.rolling_cov(s1, s2a, window=3, min_periods=2)
assert_series_equal(result, expected)
def test_expanding_cov_pairwise(self):
result = mom.expanding_cov(self.frame)
rolling_result = mom.rolling_cov(self.frame, len(self.frame), min_periods=1)
for i in result.items:
assert_almost_equal(result[i], rolling_result[i])
def test_expanding_cov(self):
A = self.series
B = (A + randn(len(A)))[:-5]
result = mom.expanding_cov(A, B)
rolling_result = mom.rolling_cov(A, B, len(A), min_periods=1)
assert_almost_equal(rolling_result, result)
def test_expanding_cov_pairwise(self):
result = mom.expanding_cov(self.frame)
rolling_result = mom.rolling_cov(self.frame,
len(self.frame),
min_periods=1)
for i in result.items:
assert_almost_equal(result[i], rolling_result[i])
def test_expanding_cov(self):
A = self.series
B = (A + randn(len(A)))[:-5]
result = mom.expanding_cov(A, B)
rolling_result = mom.rolling_cov(A, B, len(A), min_periods=1)
assert_almost_equal(rolling_result, result)
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)
def test_rolling_cov(self):
A = self.series
B = A + randn(len(A))
result = mom.rolling_cov(A, B, 50, min_periods=25)
assert_almost_equal(result[-1], np.cov(A[-50:], B[-50:])[0, 1])
def test_rolling_cov(self):
A = self.series
B = A + randn(len(A))
result = moments.rolling_cov(A, B, 50, min_periods=25)
assert_almost_equal(result[-1], np.cov(A[-50:], B[-50:])[0, 1])