Rolling.cov with offset window is expanding not rolling · Issue #16058 · pandas-dev/pandas (original) (raw)

Code Sample, a copy-pastable example if possible

import pandas as pd import numpy as np

idx = pd.date_range('2017-01-01', periods=24, freq='1h') ss = pd.Series(np.arange(len(idx)), index=idx)

(ss.rolling('2h').cov() == ss.expanding().cov()).iloc[2:].any() # this should be False!!

Problem description

When using Rolling.cov with an offset window like '2h' the window is expanding and not rolling

Expected Output

Rolling should not be equal to expanding cov - but it is equal.

Output of pd.show_versions()

INSTALLED VERSIONS ------------------ commit: None python: 3.5.2.final.0 python-bits: 64 OS: Windows OS-release: 7 machine: AMD64 processor: Intel64 Family 6 Model 45 Stepping 7, GenuineIntel byteorder: little LC_ALL: None LANG: None LOCALE: None.None

pandas: 0.19.2
nose: 1.3.7
pip: 9.0.1
setuptools: 27.2.0
Cython: 0.25.1
numpy: 1.11.3
scipy: 0.18.1
statsmodels: 0.8.0
xarray: None
IPython: 5.1.0
sphinx: 1.4.1
patsy: 0.4.1
dateutil: 2.5.3
pytz: 2016.6.1
blosc: None
bottleneck: None
tables: 3.2.2
numexpr: 2.6.1
matplotlib: 1.5.1
openpyxl: None
xlrd: 1.0.0
xlwt: 1.1.2
xlsxwriter: 0.9.2
lxml: None
bs4: 4.5.1
html5lib: None
httplib2: None
apiclient: None
sqlalchemy: 1.0.13
pymysql: None
psycopg2: None
jinja2: 2.8
boto: 2.42.0
pandas_datareader: None