import numpy as np from pandas import Series import pandas._testing as tm def check_pairwise_moment(frame, dispatch, name, **kwargs): def get_result(obj, obj2=None): return getattr(getattr(obj, dispatch)(**kwargs), name)(obj2) result = get_result(frame) result = result.loc[(slice(None), 1), 5] result.index = result.index.droplevel(1) expected = get_result(frame[1], frame[5]) tm.assert_series_equal(result, expected, check_names=False) def ew_func(A, B, com, name, **kwargs): return getattr(A.ewm(com, **kwargs), name)(B) def check_binary_ew(name, A, B): result = ew_func(A=A, B=B, com=20, name=name, min_periods=5) assert np.isnan(result.values[:14]).all() assert not np.isnan(result.values[14:]).any() def check_binary_ew_min_periods(name, min_periods, A, B): # GH 7898 result = ew_func(A, B, 20, name=name, min_periods=min_periods) # binary functions (ewmcov, ewmcorr) with bias=False require at # least two values assert np.isnan(result.values[:11]).all() assert not np.isnan(result.values[11:]).any() # check series of length 0 empty = Series([], dtype=np.float64) result = ew_func(empty, empty, 50, name=name, min_periods=min_periods) tm.assert_series_equal(result, empty) # check series of length 1 result = ew_func( Series([1.0]), Series([1.0]), 50, name=name, min_periods=min_periods ) tm.assert_series_equal(result, Series([np.NaN])) def moments_consistency_mock_mean(x, mean, mock_mean): mean_x = mean(x) # check that correlation of a series with itself is either 1 or NaN if mock_mean: # check that mean equals mock_mean expected = mock_mean(x) tm.assert_equal(mean_x, expected.astype("float64")) def moments_consistency_is_constant(x, is_constant, min_periods, count, mean, corr): count_x = count(x) mean_x = mean(x) # check that correlation of a series with itself is either 1 or NaN corr_x_x = corr(x, x) if is_constant: exp = x.max() if isinstance(x, Series) else x.max().max() # check mean of constant series expected = x * np.nan expected[count_x >= max(min_periods, 1)] = exp tm.assert_equal(mean_x, expected) # check correlation of constant series with itself is NaN expected[:] = np.nan tm.assert_equal(corr_x_x, expected) def moments_consistency_var_debiasing_factors( x, var_biased, var_unbiased, var_debiasing_factors ): if var_unbiased and var_biased and var_debiasing_factors: # check variance debiasing factors var_unbiased_x = var_unbiased(x) var_biased_x = var_biased(x) var_debiasing_factors_x = var_debiasing_factors(x) tm.assert_equal(var_unbiased_x, var_biased_x * var_debiasing_factors_x) def moments_consistency_var_data( x, is_constant, min_periods, count, mean, var_unbiased, var_biased ): count_x = count(x) mean_x = mean(x) for var in [var_biased, var_unbiased]: var_x = var(x) assert not (var_x < 0).any().any() if var is var_biased: # check that biased var(x) == mean(x^2) - mean(x)^2 mean_x2 = mean(x * x) tm.assert_equal(var_x, mean_x2 - (mean_x * mean_x)) if is_constant: # check that variance of constant series is identically 0 assert not (var_x > 0).any().any() expected = x * np.nan expected[count_x >= max(min_periods, 1)] = 0.0 if var is var_unbiased: expected[count_x < 2] = np.nan tm.assert_equal(var_x, expected) def moments_consistency_std_data(x, std_unbiased, var_unbiased, std_biased, var_biased): for (std, var) in [(std_biased, var_biased), (std_unbiased, var_unbiased)]: var_x = var(x) std_x = std(x) assert not (var_x < 0).any().any() assert not (std_x < 0).any().any() # check that var(x) == std(x)^2 tm.assert_equal(var_x, std_x * std_x) def moments_consistency_cov_data(x, cov_unbiased, var_unbiased, cov_biased, var_biased): for (cov, var) in [(cov_biased, var_biased), (cov_unbiased, var_unbiased)]: var_x = var(x) assert not (var_x < 0).any().any() if cov: cov_x_x = cov(x, x) assert not (cov_x_x < 0).any().any() # check that var(x) == cov(x, x) tm.assert_equal(var_x, cov_x_x) def moments_consistency_series_data( x, corr, mean, std_biased, std_unbiased, cov_unbiased, var_unbiased, var_biased, cov_biased, ): if isinstance(x, Series): y = x mean_x = mean(x) if not x.isna().equals(y.isna()): # can only easily test two Series with similar # structure pass # check that cor(x, y) is symmetric corr_x_y = corr(x, y) corr_y_x = corr(y, x) tm.assert_equal(corr_x_y, corr_y_x) for (std, var, cov) in [ (std_biased, var_biased, cov_biased), (std_unbiased, var_unbiased, cov_unbiased), ]: var_x = var(x) std_x = std(x) if cov: # check that cov(x, y) is symmetric cov_x_y = cov(x, y) cov_y_x = cov(y, x) tm.assert_equal(cov_x_y, cov_y_x) # check that cov(x, y) == (var(x+y) - var(x) - # var(y)) / 2 var_x_plus_y = var(x + y) var_y = var(y) tm.assert_equal(cov_x_y, 0.5 * (var_x_plus_y - var_x - var_y)) # check that corr(x, y) == cov(x, y) / (std(x) * # std(y)) std_y = std(y) tm.assert_equal(corr_x_y, cov_x_y / (std_x * std_y)) if cov is cov_biased: # check that biased cov(x, y) == mean(x*y) - # mean(x)*mean(y) mean_y = mean(y) mean_x_times_y = mean(x * y) tm.assert_equal(cov_x_y, mean_x_times_y - (mean_x * mean_y))