test_analytics.py 文件源码

def test_corr(self):
        tm._skip_if_no_scipy()

        import scipy.stats as stats

        # full overlap
        self.assertAlmostEqual(self.ts.corr(self.ts), 1)

        # partial overlap
        self.assertAlmostEqual(self.ts[:15].corr(self.ts[5:]), 1)

        self.assertTrue(isnull(self.ts[:15].corr(self.ts[5:], min_periods=12)))

        ts1 = self.ts[:15].reindex(self.ts.index)
        ts2 = self.ts[5:].reindex(self.ts.index)
        self.assertTrue(isnull(ts1.corr(ts2, min_periods=12)))

        # No overlap
        self.assertTrue(np.isnan(self.ts[::2].corr(self.ts[1::2])))

        # all NA
        cp = self.ts[:10].copy()
        cp[:] = np.nan
        self.assertTrue(isnull(cp.corr(cp)))

        A = tm.makeTimeSeries()
        B = tm.makeTimeSeries()
        result = A.corr(B)
        expected, _ = stats.pearsonr(A, B)
        self.assertAlmostEqual(result, expected)