liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-07-03 11:00:57 +08:00
Code Activity

Update test to cover changes in structured_cov_estimator

Browse Source
This commit is contained in:
Charles Young
2021-03-08 17:18:07 +08:00
parent 4d5a30b30b
commit 81b86f8022
1 changed files with 18 additions and 0 deletions
Download Patch File Download Diff File Expand all files Collapse all files

18
tests/test_structured_cov_estimator.py
View File

@@ -27,6 +27,24 @@ class TestStructuredCovEstimator(unittest.TestCase):
self.assertTrue(if_identical)
def test_nan_option_covariance(self):
# Try to estimate the covariance from a randomly generated matrix.
NUM_VARIABLE = 10
NUM_OBSERVATION = 200
EPS = 1e-6
estimator = StructuredCovEstimator(scale_return=False, assume_centered=True, nan_option='fill')
X = np.random.rand(NUM_OBSERVATION, NUM_VARIABLE)
est_cov = estimator.predict(X, is_price=False)
np_cov = np.cov(X.T) # While numpy assume row means variable, qlib assume the other wise.
delta = abs(est_cov - np_cov)
if_identical = (delta < EPS).all()
self.assertTrue(if_identical)
def test_constructed_covariance(self):
# Try to estimate the covariance from a specially crafted matrix.
# There should be some significant correlation since X is specially crafted.