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Propagate missing values in Stats.cov from Stats.stdDev. #552

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Nov 18, 2022
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Propagate missing values in Stats.cov from Stats.stdDev. #552

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2 changes: 1 addition & 1 deletion src/Deedle.Math/Stats.fs
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Original file line number Diff line number Diff line change
Expand Up @@ -140,7 +140,7 @@ type Stats =
static member covMatrix (df:Frame<'R, 'C>) =
// Treat nan as zero, the same as MATLAB
let corr = Stats.corrMatrix(df) |> Matrix.map(fun x -> if Double.IsNaN x then 0. else x)
let stdev = df |> Stats.stdDev |> Series.values |> Array.ofSeq
let stdev = df |> Stats.stdDev |> Series.valuesAll |> Seq.map (Option.defaultValue nan) |> Array.ofSeq
let stdevDiag = DenseMatrix.ofDiagArray stdev
stdevDiag * corr * stdevDiag

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19 changes: 19 additions & 0 deletions tests/Deedle.Math.Tests/Stats.fs
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Expand Up @@ -66,3 +66,22 @@ let ``cov2Corr and corr2Cov work`` () =
let actual = Stats.corr2Cov(std, corr).GetColumnAt<float>(0).GetAt(0)
let expected = cov.GetColumnAt<float>(0).GetAt(0)
actual |> should beWithin (expected +/- 1e-6)

[<Test>]
let ``cov propogates missing values when stddev produces missing values`` () =
let returns =
Frame.ofColumns [ "A"
=> series [ DateTime(2022, 11, 1) => 0.
DateTime(2022, 11, 2) => 0. ]
"B" => series [ DateTime(2022, 11, 1) => 0. ] ]

let cov = returns |> Stats.cov

let expected =
Frame.ofRowKeys [ "A"; "B" ]
|> Frame.addCol "A" (series [ "A" => 0. ])
|> Frame.addCol "B" (series [])

cov
|> Frame.toMatrix
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I tried to just write this as cov |> shouldEqual expected but something was throwing the equality check off. I would guess some reference equality somewhere. Should shouldEqual work for two frames with the same contents? I'd like to write it as an equality on the frames if possible as that's a more correct assertion.

|> shouldEqual (expected |> Frame.toMatrix)