BUG: rolling.corr() produces wrong result with equal values · Issue #18430 · pandas-dev/pandas (original) (raw)

Code Sample, a copy-pastable example if possible

s = pd.Series([1,1,2,2,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,5,0,0,0,7,0,0,0]) pd.rolling_corr(s,s,6)

Problem description

rolling_corr is producing the wrong result:

python
pd.rolling_corr(s,s,6)

0 NaN
1 NaN
2 NaN
3 NaN
4 NaN
5 1.0
6 1.0
7 1.0
8 1.0
9 0.0
10 0.0
11 0.0
12 0.0
13 0.0
14 0.0
15 0.0
16 0.0
17 0.0
18 0.0
19 0.0
20 0.0
21 0.0
22 0.0
23 0.0
24 0.0
25 0.0
26 1.0
27 1.0
28 1.0
29 1.0
30 1.0
31 1.0
32 1.0
33 1.0

This should have nan's instead of 0's for windows with static data.

Expected Output

Output of `pd.show_versions()`

[paste the output of pd.show_versions() here below this line]

INSTALLED VERSIONS

commit: None
python: 3.5.3.final.0
python-bits: 64
OS: Linux
OS-release: 4.1.35-pv-ts2
machine: x86_64
processor:
byteorder: little
LC_ALL: None
LANG: en_US.UTF-8
LOCALE: en_US.UTF-8