staircase.StairsArray.cov#

StairsArray.cov(where=(<staircase.constants.NegInf object>, <staircase.constants.Inf object>))#

Calculates the covariance matrix for a collection of Stairs instances

Parameters:

lowerint, float or pandas.Timestamp: lower bound of the interval on which to perform the calculation
upperint, float or pandas.Timestamp: upper bound of the interval on which to perform the calculation

Returns:

pandas.DataFrame: The covariance matrix

See also

staircase.cov(), staircase.core.arrays.accessor.StairsAccessor.cov(), staircase.StairsArray.corr()

Examples

>>> import staircase as sc
>>> stairs = sc.StairsArray([s1, s2, s1+s2])

>>> stairs.cov()
          0          1          2
0  0.687500   0.140496   0.652893
1  0.140496   0.471074   0.611570
2  0.652893   0.611570   1.264463