staircase.corr#

staircase.corr(collection, where=(<staircase.constants.NegInf object>, <staircase.constants.Inf object>))#

Calculates the correlation matrix for a collection of Stairs instances

Parameters
collectionarray-like, dictionary or pandas.Series

The Stairs instances at which to evaluate

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 correlation matrix

Examples

>>> import staircase as sc
>>> stairs = [s1, s2, s1+s2]
>>> sc.corr(stairs)
          0          1          2
0  1.000000   0.246878   0.700249
1  0.246878   1.000000   0.792407
2  0.700249   0.792407   1.000000
>>> stairs = {"s1":s1, "s2":s2, "s1+s2":s1+s2}
>>> sc.corr(stairs, [2,3,4]))
              s1         s2      s1+s2
s1      1.000000   0.246878   0.700249
s2      0.246878   1.000000   0.792407
s1+ s2  0.700249   0.792407   1.000000