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

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