staircase.cov#
- staircase.cov(collection, where=(<staircase.constants.NegInf object>, <staircase.constants.Inf object>))#
Calculates the covariance 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 covariance matrix
See also
Examples
>>> import staircase as sc >>> stairs = [s1, s2, s1+s2]
>>> sc.cov(stairs) 0 1 2 0 0.687500 0.140496 0.652893 1 0.140496 0.471074 0.611570 2 0.652893 0.611570 1.264463
>>> stairs = {"s1":s1, "s2":s2, "s1+s2":s1+s2} >>> sc.cov(stairs, [2,3,4])) s1 s2 s1+s2 s1 0.687500 0.140496 0.652893 s2 0.140496 0.471074 0.611570 s1+ s2 0.652893 0.611570 1.264463