def test_rolling_consistency_series(consistency_data, window, min_periods, center): x, is_constant, no_nans = consistency_data moments_consistency_series_data( x=x, mean=lambda x: (x.rolling( window=window, min_periods=min_periods, center=center).mean()), corr=lambda x, y: (x.rolling( window=window, min_periods=min_periods, center=center).corr(y)), var_unbiased=lambda x: (x.rolling( window=window, min_periods=min_periods, center=center).var()), std_unbiased=lambda x: (x.rolling(window=window, min_periods=min_periods, center=center).std( )), 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)), std_biased=lambda x: (x.rolling(window=window, min_periods=min_periods, center=center).std( ddof=0)), cov_biased=lambda x, y: (x.rolling(window=window, min_periods=min_periods, center=center).cov( y, ddof=0)), )
def test_expanding_consistency_series(consistency_data, min_periods): x, is_constant, no_nans = consistency_data moments_consistency_series_data( x=x, mean=lambda x: x.expanding(min_periods=min_periods).mean(), corr=lambda x, y: x.expanding(min_periods=min_periods).corr(y), var_unbiased=lambda x: x.expanding(min_periods=min_periods).var(), std_unbiased=lambda x: x.expanding(min_periods=min_periods).std(), 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), std_biased=lambda x: x.expanding(min_periods=min_periods).std(ddof=0), cov_biased=lambda x, y: x.expanding(min_periods=min_periods).cov(y, ddof=0), )
def test_ewm_consistency_series_data(consistency_data, min_periods, adjust, ignore_na): x, is_constant, no_nans = consistency_data com = 3.0 moments_consistency_series_data( x=x, mean=lambda x: x.ewm(com=com, min_periods=min_periods, adjust=adjust, ignore_na=ignore_na).mean(), corr=lambda x, y: x.ewm(com=com, min_periods=min_periods, adjust=adjust, ignore_na=ignore_na).corr(y), var_unbiased=lambda x: (x.ewm(com=com, min_periods=min_periods, adjust=adjust, ignore_na=ignore_na).var(bias=False)), std_unbiased=lambda x: (x.ewm(com=com, min_periods=min_periods, adjust=adjust, ignore_na=ignore_na).std(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)), std_biased=lambda x: x.ewm(com=com, min_periods=min_periods, adjust=adjust, ignore_na=ignore_na).std(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)), )