BUG: Incorrect handling of rolling.cov with offset window #16244
Conversation
pandas/tests/test_window.py
Outdated
| @@ -3396,6 +3396,18 @@ def test_min_periods(self): | |||
| result = df.rolling('2s', min_periods=1).sum() | |||
| tm.assert_frame_equal(result, expected) | |||
|
|
|||
| def test_cov(self): | |||
|
|
|||
jreback
added
Bug
Reshaping
keitakurita
force-pushed
the
rolling_window_cov
branch
from
d782f55 to
001a88b
Compare
Codecov Report
@@ Coverage Diff @@
## master #16244 +/- ##
==========================================
+ Coverage 90.34% 90.35% +<.01%
==========================================
Files 164 164
Lines 50890 50894 +4
==========================================
+ Hits 45977 45984 +7
+ Misses 4913 4910 -3
Continue to review full report at Codecov.
|
Codecov Report
@@ Coverage Diff @@
## master #16244 +/- ##
==========================================
+ Coverage 90.34% 90.35% +<.01%
==========================================
Files 164 164
Lines 50890 50894 +4
==========================================
+ Hits 45977 45984 +7
+ Misses 4913 4910 -3
Continue to review full report at Codecov.
|
Codecov Report
@@ Coverage Diff @@
## master #16244 +/- ##
==========================================
+ Coverage 90.79% 90.8% +<.01%
==========================================
Files 161 161
Lines 51063 51067 +4
==========================================
+ Hits 46365 46369 +4
Misses 4698 4698
Continue to review full report at Codecov.
|
pandas/core/window.py
Outdated
| @@ -996,7 +997,10 @@ def cov(self, other=None, pairwise=None, ddof=1, **kwargs): | |||
| # only default unset | |||
| pairwise = True if pairwise is None else pairwise | |||
| other = self._shallow_copy(other) | |||
| window = self._get_window(other) | |||
| if self.is_freq_type: | |||
There was a problem hiding this comment.
you can do this in _get_window itself i think.
There was a problem hiding this comment.
I tried changing _get_window, but a lot of methods (such as var, median, and sum) require an integer window and seem to be working fine right now. If this issue is not a problem in methods other than cov, changing the code only for cov seems to make more sense.
There was a problem hiding this comment.
test for issue and whatsnew note added
There was a problem hiding this comment.
can you add a comment here (1-line) about this
keitakurita
force-pushed
the
rolling_window_cov
branch
3 times, most recently
from
0e6ccaf to
76024c1
Compare
| idx = pd.date_range('2017-01-01', periods=24, freq='1h') | ||
| ss = pd.Series(np.arange(len(idx)), index=idx) | ||
|
|
||
| result = ss.rolling('2h').cov() |
There was a problem hiding this comment.
also test again using ss.rolling(2).cov() (will be the same for this case).
I don't know if we have any tests for a non-regular date range, where freq=2 and freq='2h' are actually different.
keitakurita
force-pushed
the
rolling_window_cov
branch
from
76024c1 to
1c34441
Compare
TomAugspurger
force-pushed
the
rolling_window_cov
branch
from
1c34441 to
a5582ec
Compare
|
Rebased. @jreback I think everything was addressed, if you want to verify? |
|
thanks! |
(cherry picked from commit 4ca29f4)
Version 0.20.2 * tag 'v0.20.2': (68 commits) RLS: v0.20.2 DOC: Update release.rst DOC: Whatsnew fixups (pandas-dev#16596) ERRR: Raise error in usecols when column doesn't exist but length matches (pandas-dev#16460) BUG: convert numpy strings in index names in HDF pandas-dev#13492 (pandas-dev#16444) PERF: vectorize _interp_limit (pandas-dev#16592) DOC: whatsnew 0.20.2 edits (pandas-dev#16587) API: Make is_strictly_monotonic_* private (pandas-dev#16576) BUG: reimplement MultiIndex.remove_unused_levels (pandas-dev#16565) Strictly monotonic (pandas-dev#16555) ENH: add .ngroup() method to groupby objects (pandas-dev#14026) (pandas-dev#14026) fix linting BUG: Incorrect handling of rolling.cov with offset window (pandas-dev#16244) BUG: select_as_multiple doesn't respect start/stop kwargs GH16209 (pandas-dev#16317) return empty MultiIndex for symmetrical difference on equal MultiIndexes (pandas-dev#16486) BUG: Bug in .resample() and .groupby() when aggregating on integers (pandas-dev#16549) BUG: Fixed tput output on windows (pandas-dev#16496) Strictly monotonic (pandas-dev#16555) BUG: fixed wrong order of ordered labels in pd.cut() BUG: Fixed to_html ignoring index_names parameter ...
git diff upstream/master --name-only -- '*.py' | flake8 --diff