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Reformat code to follow PEP 8.

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Charles Young
2021-02-22 10:07:03 +08:00
parent f7d3e56561
commit 58f74cfd84
1 changed files with 5 additions and 5 deletions
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10
qlib/model/riskmodel.py
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@@ -1,11 +1,10 @@
# Copyright (c) Microsoft Corporation. # Copyright (c) Microsoft Corporation.
# Licensed under the MIT License. # Licensed under the MIT License.
import warnings
import numpy as np import numpy as np
import pandas as pd import pandas as pd
from typing import Union from typing import Union
from sklearn.decomposition import PCA, FactorAnalysis
from qlib.model.base import BaseModel from qlib.model.base import BaseModel
@@ -124,7 +123,7 @@ class RiskModel(BaseModel):
X = np.nan_to_num(X) X = np.nan_to_num(X)
elif self.nan_option == self.MASK_NAN: elif self.nan_option == self.MASK_NAN:
X = np.ma.masked_invalid(X) X = np.ma.masked_invalid(X)
# centerize # centralize
if not self.assume_centered: if not self.assume_centered:
X = X - np.nanmean(X, axis=0) X = X - np.nanmean(X, axis=0)
return X return X
@@ -162,8 +161,9 @@ class ShrinkCovEstimator(RiskModel):
[3] Ledoit, O., & Wolf, M. (2003). Improved estimation of the covariance matrix of stock returns [3] Ledoit, O., & Wolf, M. (2003). Improved estimation of the covariance matrix of stock returns
with an application to portfolio selection. with an application to portfolio selection.
Journal of Empirical Finance, 10(5), 603–621. https://doi.org/10.1016/S0927-5398(03)00007-0 Journal of Empirical Finance, 10(5), 603–621. https://doi.org/10.1016/S0927-5398(03)00007-0
[4] Chen, Y., Wiesel, A., Eldar, Y. C., & Hero, A. O. (2010). Shrinkage algorithms for MMSE covariance estimation. [4] Chen, Y., Wiesel, A., Eldar, Y. C., & Hero, A. O. (2010). Shrinkage algorithms for MMSE covariance
IEEE Transactions on Signal Processing, 58(10), 5016–5029. https://doi.org/10.1109/TSP.2010.2053029 estimation. IEEE Transactions on Signal Processing, 58(10), 5016–5029.
https://doi.org/10.1109/TSP.2010.2053029
[5] https://www.econ.uzh.ch/dam/jcr:ffffffff-935a-b0d6-0000-00007f64e5b9/cov1para.m.zip [5] https://www.econ.uzh.ch/dam/jcr:ffffffff-935a-b0d6-0000-00007f64e5b9/cov1para.m.zip
[6] https://www.econ.uzh.ch/dam/jcr:ffffffff-935a-b0d6-ffff-ffffde5e2d4e/covCor.m.zip [6] https://www.econ.uzh.ch/dam/jcr:ffffffff-935a-b0d6-ffff-ffffde5e2d4e/covCor.m.zip
[7] https://www.econ.uzh.ch/dam/jcr:ffffffff-935a-b0d6-0000-0000648dfc98/covMarket.m.zip [7] https://www.econ.uzh.ch/dam/jcr:ffffffff-935a-b0d6-0000-0000648dfc98/covMarket.m.zip