staircase.corr

staircase.corr(collection, lower=-inf, upper=inf)

Calculates the correlation matrix for a collection of Stairs instances

Parameters:

• collection (pandas.Series, dict, or array-like of Stairs values) – the stairs instances with which to compute the correlation matrix
• lower (int, float or pandas.Timestamp) – lower bound of the interval on which to perform the calculation
• upper (int, float or pandas.Timestamp) – upper bound of the interval on which to perform the calculation

Returns:

The correlation matrix

Return type:

pandas.DataFrame

See also

Stairs.corr(), staircase.cov()

Examples

>>> import staircase as sc
>>> pd.Series([s1, s2, s1+s2])
0    <staircase.Stairs, id=2452772382088, dates=False>
1    <staircase.Stairs, id=2452772381320, dates=False>
2    <staircase.Stairs, id=2452772893512, dates=False>
dtype: object

>>> sc.corr(pd.Series([s1, s2, s1+s2], index=['s1', 's2', 's1+s2']))
              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

>>> sc.corr([s1, s2, s1+s2])
          0          1          2
0  1.000000   0.246878   0.700249
1  0.246878   1.000000   0.792407
2  0.700249   0.792407   1.000000