staircase.
cov
(collection, lower=-inf, upper=inf)¶Calculates the covariance matrix for a collection of Stairs
instances
Parameters: |
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Returns: | The covariance matrix |
Return type: |
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See also
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.cov(pd.Series([s1, s2, s1+s2], index=['s1', 's2', 's1+s2']))
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
>>> sc.cov([s1, s2, s1+s2])
0 1 2
0 0.687500 0.140496 0.652893
1 0.140496 0.471074 0.611570
2 0.652893 0.611570 1.264463