peacock-data-public-datasets-idc-cronscript
/
venv
/lib
/python3.10
/site-packages
/pandas
/tests
/window
/test_ewm.py
import numpy as np | |
import pytest | |
from pandas import ( | |
DataFrame, | |
DatetimeIndex, | |
Series, | |
date_range, | |
) | |
import pandas._testing as tm | |
def test_doc_string(): | |
df = DataFrame({"B": [0, 1, 2, np.nan, 4]}) | |
df | |
df.ewm(com=0.5).mean() | |
def test_constructor(frame_or_series): | |
c = frame_or_series(range(5)).ewm | |
# valid | |
c(com=0.5) | |
c(span=1.5) | |
c(alpha=0.5) | |
c(halflife=0.75) | |
c(com=0.5, span=None) | |
c(alpha=0.5, com=None) | |
c(halflife=0.75, alpha=None) | |
# not valid: mutually exclusive | |
msg = "comass, span, halflife, and alpha are mutually exclusive" | |
with pytest.raises(ValueError, match=msg): | |
c(com=0.5, alpha=0.5) | |
with pytest.raises(ValueError, match=msg): | |
c(span=1.5, halflife=0.75) | |
with pytest.raises(ValueError, match=msg): | |
c(alpha=0.5, span=1.5) | |
# not valid: com < 0 | |
msg = "comass must satisfy: comass >= 0" | |
with pytest.raises(ValueError, match=msg): | |
c(com=-0.5) | |
# not valid: span < 1 | |
msg = "span must satisfy: span >= 1" | |
with pytest.raises(ValueError, match=msg): | |
c(span=0.5) | |
# not valid: halflife <= 0 | |
msg = "halflife must satisfy: halflife > 0" | |
with pytest.raises(ValueError, match=msg): | |
c(halflife=0) | |
# not valid: alpha <= 0 or alpha > 1 | |
msg = "alpha must satisfy: 0 < alpha <= 1" | |
for alpha in (-0.5, 1.5): | |
with pytest.raises(ValueError, match=msg): | |
c(alpha=alpha) | |
def test_ewma_times_not_datetime_type(): | |
msg = r"times must be datetime64 dtype." | |
with pytest.raises(ValueError, match=msg): | |
Series(range(5)).ewm(times=np.arange(5)) | |
def test_ewma_times_not_same_length(): | |
msg = "times must be the same length as the object." | |
with pytest.raises(ValueError, match=msg): | |
Series(range(5)).ewm(times=np.arange(4).astype("datetime64[ns]")) | |
def test_ewma_halflife_not_correct_type(): | |
msg = "halflife must be a timedelta convertible object" | |
with pytest.raises(ValueError, match=msg): | |
Series(range(5)).ewm(halflife=1, times=np.arange(5).astype("datetime64[ns]")) | |
def test_ewma_halflife_without_times(halflife_with_times): | |
msg = "halflife can only be a timedelta convertible argument if times is not None." | |
with pytest.raises(ValueError, match=msg): | |
Series(range(5)).ewm(halflife=halflife_with_times) | |
def test_ewma_with_times_equal_spacing(halflife_with_times, times, min_periods): | |
halflife = halflife_with_times | |
data = np.arange(10.0) | |
data[::2] = np.nan | |
df = DataFrame({"A": data}) | |
result = df.ewm(halflife=halflife, min_periods=min_periods, times=times).mean() | |
expected = df.ewm(halflife=1.0, min_periods=min_periods).mean() | |
tm.assert_frame_equal(result, expected) | |
def test_ewma_with_times_variable_spacing(tz_aware_fixture, unit): | |
tz = tz_aware_fixture | |
halflife = "23 days" | |
times = ( | |
DatetimeIndex(["2020-01-01", "2020-01-10T00:04:05", "2020-02-23T05:00:23"]) | |
.tz_localize(tz) | |
.as_unit(unit) | |
) | |
data = np.arange(3) | |
df = DataFrame(data) | |
result = df.ewm(halflife=halflife, times=times).mean() | |
expected = DataFrame([0.0, 0.5674161888241773, 1.545239952073459]) | |
tm.assert_frame_equal(result, expected) | |
def test_ewm_with_nat_raises(halflife_with_times): | |
# GH#38535 | |
ser = Series(range(1)) | |
times = DatetimeIndex(["NaT"]) | |
with pytest.raises(ValueError, match="Cannot convert NaT values to integer"): | |
ser.ewm(com=0.1, halflife=halflife_with_times, times=times) | |
def test_ewm_with_times_getitem(halflife_with_times): | |
# GH 40164 | |
halflife = halflife_with_times | |
data = np.arange(10.0) | |
data[::2] = np.nan | |
times = date_range("2000", freq="D", periods=10) | |
df = DataFrame({"A": data, "B": data}) | |
result = df.ewm(halflife=halflife, times=times)["A"].mean() | |
expected = df.ewm(halflife=1.0)["A"].mean() | |
tm.assert_series_equal(result, expected) | |
def test_ewm_getitem_attributes_retained(arg, adjust, ignore_na): | |
# GH 40164 | |
kwargs = {arg: 1, "adjust": adjust, "ignore_na": ignore_na} | |
ewm = DataFrame({"A": range(1), "B": range(1)}).ewm(**kwargs) | |
expected = {attr: getattr(ewm, attr) for attr in ewm._attributes} | |
ewm_slice = ewm["A"] | |
result = {attr: getattr(ewm, attr) for attr in ewm_slice._attributes} | |
assert result == expected | |
def test_ewma_times_adjust_false_raises(): | |
# GH 40098 | |
with pytest.raises( | |
NotImplementedError, match="times is not supported with adjust=False." | |
): | |
Series(range(1)).ewm( | |
0.1, adjust=False, times=date_range("2000", freq="D", periods=1) | |
) | |
def test_float_dtype_ewma(func, expected, float_numpy_dtype): | |
# GH#42452 | |
df = DataFrame( | |
{0: range(5), 1: range(6, 11), 2: range(10, 20, 2)}, dtype=float_numpy_dtype | |
) | |
msg = "Support for axis=1 in DataFrame.ewm is deprecated" | |
with tm.assert_produces_warning(FutureWarning, match=msg): | |
e = df.ewm(alpha=0.5, axis=1) | |
result = getattr(e, func)() | |
tm.assert_frame_equal(result, expected) | |
def test_times_string_col_raises(): | |
# GH 43265 | |
df = DataFrame( | |
{"A": np.arange(10.0), "time_col": date_range("2000", freq="D", periods=10)} | |
) | |
with pytest.raises(ValueError, match="times must be datetime64"): | |
df.ewm(halflife="1 day", min_periods=0, times="time_col") | |
def test_ewm_sum_adjust_false_notimplemented(): | |
data = Series(range(1)).ewm(com=1, adjust=False) | |
with pytest.raises(NotImplementedError, match="sum is not"): | |
data.sum() | |
def test_ewm_sum(expected_data, ignore): | |
# xref from Numbagg tests | |
# https://github.com/numbagg/numbagg/blob/v0.2.1/numbagg/test/test_moving.py#L50 | |
data = Series([10, 0, np.nan, 10]) | |
result = data.ewm(alpha=0.5, ignore_na=ignore).sum() | |
expected = Series(expected_data) | |
tm.assert_series_equal(result, expected) | |
def test_ewma_adjust(): | |
vals = Series(np.zeros(1000)) | |
vals[5] = 1 | |
result = vals.ewm(span=100, adjust=False).mean().sum() | |
assert np.abs(result - 1) < 1e-2 | |
def test_ewma_cases(adjust, ignore_na): | |
# try adjust/ignore_na args matrix | |
s = Series([1.0, 2.0, 4.0, 8.0]) | |
if adjust: | |
expected = Series([1.0, 1.6, 2.736842, 4.923077]) | |
else: | |
expected = Series([1.0, 1.333333, 2.222222, 4.148148]) | |
result = s.ewm(com=2.0, adjust=adjust, ignore_na=ignore_na).mean() | |
tm.assert_series_equal(result, expected) | |
def test_ewma_nan_handling(): | |
s = Series([1.0] + [np.nan] * 5 + [1.0]) | |
result = s.ewm(com=5).mean() | |
tm.assert_series_equal(result, Series([1.0] * len(s))) | |
s = Series([np.nan] * 2 + [1.0] + [np.nan] * 2 + [1.0]) | |
result = s.ewm(com=5).mean() | |
tm.assert_series_equal(result, Series([np.nan] * 2 + [1.0] * 4)) | |
def test_ewma_nan_handling_cases(s, adjust, ignore_na, w): | |
# GH 7603 | |
expected = (s.multiply(w).cumsum() / Series(w).cumsum()).ffill() | |
result = s.ewm(com=2.0, adjust=adjust, ignore_na=ignore_na).mean() | |
tm.assert_series_equal(result, expected) | |
if ignore_na is False: | |
# check that ignore_na defaults to False | |
result = s.ewm(com=2.0, adjust=adjust).mean() | |
tm.assert_series_equal(result, expected) | |
def test_ewm_alpha(): | |
# GH 10789 | |
arr = np.random.default_rng(2).standard_normal(100) | |
locs = np.arange(20, 40) | |
arr[locs] = np.nan | |
s = Series(arr) | |
a = s.ewm(alpha=0.61722699889169674).mean() | |
b = s.ewm(com=0.62014947789973052).mean() | |
c = s.ewm(span=2.240298955799461).mean() | |
d = s.ewm(halflife=0.721792864318).mean() | |
tm.assert_series_equal(a, b) | |
tm.assert_series_equal(a, c) | |
tm.assert_series_equal(a, d) | |
def test_ewm_domain_checks(): | |
# GH 12492 | |
arr = np.random.default_rng(2).standard_normal(100) | |
locs = np.arange(20, 40) | |
arr[locs] = np.nan | |
s = Series(arr) | |
msg = "comass must satisfy: comass >= 0" | |
with pytest.raises(ValueError, match=msg): | |
s.ewm(com=-0.1) | |
s.ewm(com=0.0) | |
s.ewm(com=0.1) | |
msg = "span must satisfy: span >= 1" | |
with pytest.raises(ValueError, match=msg): | |
s.ewm(span=-0.1) | |
with pytest.raises(ValueError, match=msg): | |
s.ewm(span=0.0) | |
with pytest.raises(ValueError, match=msg): | |
s.ewm(span=0.9) | |
s.ewm(span=1.0) | |
s.ewm(span=1.1) | |
msg = "halflife must satisfy: halflife > 0" | |
with pytest.raises(ValueError, match=msg): | |
s.ewm(halflife=-0.1) | |
with pytest.raises(ValueError, match=msg): | |
s.ewm(halflife=0.0) | |
s.ewm(halflife=0.1) | |
msg = "alpha must satisfy: 0 < alpha <= 1" | |
with pytest.raises(ValueError, match=msg): | |
s.ewm(alpha=-0.1) | |
with pytest.raises(ValueError, match=msg): | |
s.ewm(alpha=0.0) | |
s.ewm(alpha=0.1) | |
s.ewm(alpha=1.0) | |
with pytest.raises(ValueError, match=msg): | |
s.ewm(alpha=1.1) | |
def test_ew_empty_series(method): | |
vals = Series([], dtype=np.float64) | |
ewm = vals.ewm(3) | |
result = getattr(ewm, method)() | |
tm.assert_almost_equal(result, vals) | |
def test_ew_min_periods(min_periods, name): | |
# excluding NaNs correctly | |
arr = np.random.default_rng(2).standard_normal(50) | |
arr[:10] = np.nan | |
arr[-10:] = np.nan | |
s = Series(arr) | |
# check min_periods | |
# GH 7898 | |
result = getattr(s.ewm(com=50, min_periods=2), name)() | |
assert result[:11].isna().all() | |
assert not result[11:].isna().any() | |
result = getattr(s.ewm(com=50, min_periods=min_periods), name)() | |
if name == "mean": | |
assert result[:10].isna().all() | |
assert not result[10:].isna().any() | |
else: | |
# ewm.std, ewm.var (with bias=False) require at least | |
# two values | |
assert result[:11].isna().all() | |
assert not result[11:].isna().any() | |
# check series of length 0 | |
result = getattr(Series(dtype=object).ewm(com=50, min_periods=min_periods), name)() | |
tm.assert_series_equal(result, Series(dtype="float64")) | |
# check series of length 1 | |
result = getattr(Series([1.0]).ewm(50, min_periods=min_periods), name)() | |
if name == "mean": | |
tm.assert_series_equal(result, Series([1.0])) | |
else: | |
# ewm.std, ewm.var with bias=False require at least | |
# two values | |
tm.assert_series_equal(result, Series([np.nan])) | |
# pass in ints | |
result2 = getattr(Series(np.arange(50)).ewm(span=10), name)() | |
assert result2.dtype == np.float64 | |
def test_ewm_corr_cov(name): | |
A = Series(np.random.default_rng(2).standard_normal(50), index=range(50)) | |
B = A[2:] + np.random.default_rng(2).standard_normal(48) | |
A[:10] = np.nan | |
B.iloc[-10:] = np.nan | |
result = getattr(A.ewm(com=20, min_periods=5), name)(B) | |
assert np.isnan(result.values[:14]).all() | |
assert not np.isnan(result.values[14:]).any() | |
def test_ewm_corr_cov_min_periods(name, min_periods): | |
# GH 7898 | |
A = Series(np.random.default_rng(2).standard_normal(50), index=range(50)) | |
B = A[2:] + np.random.default_rng(2).standard_normal(48) | |
A[:10] = np.nan | |
B.iloc[-10:] = np.nan | |
result = getattr(A.ewm(com=20, min_periods=min_periods), name)(B) | |
# binary functions (ewmcov, ewmcorr) with bias=False require at | |
# least two values | |
assert np.isnan(result.values[:11]).all() | |
assert not np.isnan(result.values[11:]).any() | |
# check series of length 0 | |
empty = Series([], dtype=np.float64) | |
result = getattr(empty.ewm(com=50, min_periods=min_periods), name)(empty) | |
tm.assert_series_equal(result, empty) | |
# check series of length 1 | |
result = getattr(Series([1.0]).ewm(com=50, min_periods=min_periods), name)( | |
Series([1.0]) | |
) | |
tm.assert_series_equal(result, Series([np.nan])) | |
def test_different_input_array_raise_exception(name): | |
A = Series(np.random.default_rng(2).standard_normal(50), index=range(50)) | |
A[:10] = np.nan | |
msg = "other must be a DataFrame or Series" | |
# exception raised is Exception | |
with pytest.raises(ValueError, match=msg): | |
getattr(A.ewm(com=20, min_periods=5), name)( | |
np.random.default_rng(2).standard_normal(50) | |
) | |
def test_ewma_series(series, name): | |
series_result = getattr(series.ewm(com=10), name)() | |
assert isinstance(series_result, Series) | |
def test_ewma_frame(frame, name): | |
frame_result = getattr(frame.ewm(com=10), name)() | |
assert isinstance(frame_result, DataFrame) | |
def test_ewma_span_com_args(series): | |
A = series.ewm(com=9.5).mean() | |
B = series.ewm(span=20).mean() | |
tm.assert_almost_equal(A, B) | |
msg = "comass, span, halflife, and alpha are mutually exclusive" | |
with pytest.raises(ValueError, match=msg): | |
series.ewm(com=9.5, span=20) | |
msg = "Must pass one of comass, span, halflife, or alpha" | |
with pytest.raises(ValueError, match=msg): | |
series.ewm().mean() | |
def test_ewma_halflife_arg(series): | |
A = series.ewm(com=13.932726172912965).mean() | |
B = series.ewm(halflife=10.0).mean() | |
tm.assert_almost_equal(A, B) | |
msg = "comass, span, halflife, and alpha are mutually exclusive" | |
with pytest.raises(ValueError, match=msg): | |
series.ewm(span=20, halflife=50) | |
with pytest.raises(ValueError, match=msg): | |
series.ewm(com=9.5, halflife=50) | |
with pytest.raises(ValueError, match=msg): | |
series.ewm(com=9.5, span=20, halflife=50) | |
msg = "Must pass one of comass, span, halflife, or alpha" | |
with pytest.raises(ValueError, match=msg): | |
series.ewm() | |
def test_ewm_alpha_arg(series): | |
# GH 10789 | |
s = series | |
msg = "Must pass one of comass, span, halflife, or alpha" | |
with pytest.raises(ValueError, match=msg): | |
s.ewm() | |
msg = "comass, span, halflife, and alpha are mutually exclusive" | |
with pytest.raises(ValueError, match=msg): | |
s.ewm(com=10.0, alpha=0.5) | |
with pytest.raises(ValueError, match=msg): | |
s.ewm(span=10.0, alpha=0.5) | |
with pytest.raises(ValueError, match=msg): | |
s.ewm(halflife=10.0, alpha=0.5) | |
def test_ewm_pairwise_cov_corr(func, frame): | |
result = getattr(frame.ewm(span=10, min_periods=5), func)() | |
result = result.loc[(slice(None), 1), 5] | |
result.index = result.index.droplevel(1) | |
expected = getattr(frame[1].ewm(span=10, min_periods=5), func)(frame[5]) | |
tm.assert_series_equal(result, expected, check_names=False) | |
def test_numeric_only_frame(arithmetic_win_operators, numeric_only): | |
# GH#46560 | |
kernel = arithmetic_win_operators | |
df = DataFrame({"a": [1], "b": 2, "c": 3}) | |
df["c"] = df["c"].astype(object) | |
ewm = df.ewm(span=2, min_periods=1) | |
op = getattr(ewm, kernel, None) | |
if op is not None: | |
result = op(numeric_only=numeric_only) | |
columns = ["a", "b"] if numeric_only else ["a", "b", "c"] | |
expected = df[columns].agg([kernel]).reset_index(drop=True).astype(float) | |
assert list(expected.columns) == columns | |
tm.assert_frame_equal(result, expected) | |
def test_numeric_only_corr_cov_frame(kernel, numeric_only, use_arg): | |
# GH#46560 | |
df = DataFrame({"a": [1, 2, 3], "b": 2, "c": 3}) | |
df["c"] = df["c"].astype(object) | |
arg = (df,) if use_arg else () | |
ewm = df.ewm(span=2, min_periods=1) | |
op = getattr(ewm, kernel) | |
result = op(*arg, numeric_only=numeric_only) | |
# Compare result to op using float dtypes, dropping c when numeric_only is True | |
columns = ["a", "b"] if numeric_only else ["a", "b", "c"] | |
df2 = df[columns].astype(float) | |
arg2 = (df2,) if use_arg else () | |
ewm2 = df2.ewm(span=2, min_periods=1) | |
op2 = getattr(ewm2, kernel) | |
expected = op2(*arg2, numeric_only=numeric_only) | |
tm.assert_frame_equal(result, expected) | |
def test_numeric_only_series(arithmetic_win_operators, numeric_only, dtype): | |
# GH#46560 | |
kernel = arithmetic_win_operators | |
ser = Series([1], dtype=dtype) | |
ewm = ser.ewm(span=2, min_periods=1) | |
op = getattr(ewm, kernel, None) | |
if op is None: | |
# Nothing to test | |
pytest.skip("No op to test") | |
if numeric_only and dtype is object: | |
msg = f"ExponentialMovingWindow.{kernel} does not implement numeric_only" | |
with pytest.raises(NotImplementedError, match=msg): | |
op(numeric_only=numeric_only) | |
else: | |
result = op(numeric_only=numeric_only) | |
expected = ser.agg([kernel]).reset_index(drop=True).astype(float) | |
tm.assert_series_equal(result, expected) | |
def test_numeric_only_corr_cov_series(kernel, use_arg, numeric_only, dtype): | |
# GH#46560 | |
ser = Series([1, 2, 3], dtype=dtype) | |
arg = (ser,) if use_arg else () | |
ewm = ser.ewm(span=2, min_periods=1) | |
op = getattr(ewm, kernel) | |
if numeric_only and dtype is object: | |
msg = f"ExponentialMovingWindow.{kernel} does not implement numeric_only" | |
with pytest.raises(NotImplementedError, match=msg): | |
op(*arg, numeric_only=numeric_only) | |
else: | |
result = op(*arg, numeric_only=numeric_only) | |
ser2 = ser.astype(float) | |
arg2 = (ser2,) if use_arg else () | |
ewm2 = ser2.ewm(span=2, min_periods=1) | |
op2 = getattr(ewm2, kernel) | |
expected = op2(*arg2, numeric_only=numeric_only) | |
tm.assert_series_equal(result, expected) | |