def test_expanding_cov_pairwise_diff_length(self):
# GH 7512
df1 = DataFrame([[1,5], [3, 2], [3,9]], columns=['A','B'])
df1a = DataFrame([[1,5], [3,9]], index=[0,2], columns=['A','B'])
df2 = DataFrame([[5,6], [None,None], [2,1]], columns=['X','Y'])
df2a = DataFrame([[5,6], [2,1]], index=[0,2], columns=['X','Y'])
result1 = mom.expanding_cov(df1, df2, pairwise=True)[2]
result2 = mom.expanding_cov(df1, df2a, pairwise=True)[2]
result3 = mom.expanding_cov(df1a, df2, pairwise=True)[2]
result4 = mom.expanding_cov(df1a, df2a, pairwise=True)[2]
expected = DataFrame([[-3., -5.], [-6., -10.]], index=['A','B'], columns=['X','Y'])
assert_frame_equal(result1, expected)
assert_frame_equal(result2, expected)
assert_frame_equal(result3, expected)
assert_frame_equal(result4, 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_pairwise_diff_length(self):
# GH 7512
df1 = DataFrame([[1, 5], [3, 2], [3, 9]], columns=['A', 'B'])
df1a = DataFrame([[1, 5], [3, 9]], index=[0, 2], columns=['A', 'B'])
df2 = DataFrame([[5, 6], [None, None], [2, 1]], columns=['X', 'Y'])
df2a = DataFrame([[5, 6], [2, 1]], index=[0, 2], columns=['X', 'Y'])
result1 = mom.expanding_cov(df1, df2, pairwise=True)[2]
result2 = mom.expanding_cov(df1, df2a, pairwise=True)[2]
result3 = mom.expanding_cov(df1a, df2, pairwise=True)[2]
result4 = mom.expanding_cov(df1a, df2a, pairwise=True)[2]
expected = DataFrame([[-3., -5.], [-6., -10.]],
index=['A', 'B'],
columns=['X', 'Y'])
assert_frame_equal(result1, expected)
assert_frame_equal(result2, expected)
assert_frame_equal(result3, expected)
assert_frame_equal(result4, expected)
def test_expanding_cov_diff_index(self):
# GH 7512
s1 = Series([1, 2, 3], index=[0, 1, 2])
s2 = Series([1, 3], index=[0, 2])
result = mom.expanding_cov(s1, s2)
expected = Series([None, None, 2.0])
assert_series_equal(result, expected)
s2a = Series([1, None, 3], index=[0, 1, 2])
result = mom.expanding_cov(s1, s2a)
assert_series_equal(result, expected)
s1 = Series([7, 8, 10], index=[0, 1, 3])
s2 = Series([7, 9, 10], index=[0, 2, 3])
result = mom.expanding_cov(s1, s2)
expected = Series([None, None, None, 4.5])
assert_series_equal(result, expected)
def test_expanding_cov_diff_index(self):
# GH 7512
s1 = Series([1, 2, 3], index=[0, 1, 2])
s2 = Series([1, 3], index=[0, 2])
result = mom.expanding_cov(s1, s2)
expected = Series([None, None, 2.0])
assert_series_equal(result, expected)
s2a = Series([1, None, 3], index=[0, 1, 2])
result = mom.expanding_cov(s1, s2a)
assert_series_equal(result, expected)
s1 = Series([7, 8, 10], index=[0, 1, 3])
s2 = Series([7, 9, 10], index=[0, 2, 3])
result = mom.expanding_cov(s1, s2)
expected = Series([None, None, None, 4.5])
assert_series_equal(result, expected)
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)