from functools import partial import numpy as np import pytest from pandas import ( DataFrame, Series, concat, isna, notna, ) import pandas._testing as tm from pandas.tseries import offsets def scoreatpercentile(a, per): values = np.sort(a, axis=0) idx = int(per / 1.0 * (values.shape[0] - 1)) if idx == values.shape[0] - 1: retval = values[-1] else: qlow = idx / (values.shape[0] - 1) qhig = (idx + 1) / (values.shape[0] - 1) vlow = values[idx] vhig = values[idx + 1] retval = vlow + (vhig - vlow) * (per - qlow) / (qhig - qlow) return retval @pytest.mark.parametrize("q", [0.0, 0.1, 0.5, 0.9, 1.0]) def test_series(series, q, step): compare_func = partial(scoreatpercentile, per=q) result = series.rolling(50, step=step).quantile(q) assert isinstance(result, Series) end = range(0, len(series), step or 1)[-1] + 1 tm.assert_almost_equal(result.iloc[-1], compare_func(series[end - 50 : end])) @pytest.mark.parametrize("q", [0.0, 0.1, 0.5, 0.9, 1.0]) def test_frame(raw, frame, q, step): compare_func = partial(scoreatpercentile, per=q) result = frame.rolling(50, step=step).quantile(q) assert isinstance(result, DataFrame) end = range(0, len(frame), step or 1)[-1] + 1 tm.assert_series_equal( result.iloc[-1, :], frame.iloc[end - 50 : end, :].apply(compare_func, axis=0, raw=raw), check_names=False, ) @pytest.mark.parametrize("q", [0.0, 0.1, 0.5, 0.9, 1.0]) def test_time_rule_series(series, q): compare_func = partial(scoreatpercentile, per=q) win = 25 ser = series[::2].resample("B").mean() series_result = ser.rolling(window=win, min_periods=10).quantile(q) last_date = series_result.index[-1] prev_date = last_date - 24 * offsets.BDay() trunc_series = series[::2].truncate(prev_date, last_date) tm.assert_almost_equal(series_result[-1], compare_func(trunc_series)) @pytest.mark.parametrize("q", [0.0, 0.1, 0.5, 0.9, 1.0]) def test_time_rule_frame(raw, frame, q): compare_func = partial(scoreatpercentile, per=q) win = 25 frm = frame[::2].resample("B").mean() frame_result = frm.rolling(window=win, min_periods=10).quantile(q) last_date = frame_result.index[-1] prev_date = last_date - 24 * offsets.BDay() trunc_frame = frame[::2].truncate(prev_date, last_date) tm.assert_series_equal( frame_result.xs(last_date), trunc_frame.apply(compare_func, raw=raw), check_names=False, ) @pytest.mark.parametrize("q", [0.0, 0.1, 0.5, 0.9, 1.0]) def test_nans(q): compare_func = partial(scoreatpercentile, per=q) obj = Series(np.random.randn(50)) obj[:10] = np.NaN obj[-10:] = np.NaN result = obj.rolling(50, min_periods=30).quantile(q) tm.assert_almost_equal(result.iloc[-1], compare_func(obj[10:-10])) # min_periods is working correctly result = obj.rolling(20, min_periods=15).quantile(q) assert isna(result.iloc[23]) assert not isna(result.iloc[24]) assert not isna(result.iloc[-6]) assert isna(result.iloc[-5]) obj2 = Series(np.random.randn(20)) result = obj2.rolling(10, min_periods=5).quantile(q) assert isna(result.iloc[3]) assert notna(result.iloc[4]) result0 = obj.rolling(20, min_periods=0).quantile(q) result1 = obj.rolling(20, min_periods=1).quantile(q) tm.assert_almost_equal(result0, result1) @pytest.mark.parametrize("minp", [0, 99, 100]) @pytest.mark.parametrize("q", [0.0, 0.1, 0.5, 0.9, 1.0]) def test_min_periods(series, minp, q, step): result = series.rolling(len(series) + 1, min_periods=minp, step=step).quantile(q) expected = series.rolling(len(series), min_periods=minp, step=step).quantile(q) nan_mask = isna(result) tm.assert_series_equal(nan_mask, isna(expected)) nan_mask = ~nan_mask tm.assert_almost_equal(result[nan_mask], expected[nan_mask]) @pytest.mark.parametrize("q", [0.0, 0.1, 0.5, 0.9, 1.0]) def test_center(q): obj = Series(np.random.randn(50)) obj[:10] = np.NaN obj[-10:] = np.NaN result = obj.rolling(20, center=True).quantile(q) expected = ( concat([obj, Series([np.NaN] * 9)]) .rolling(20) .quantile(q) .iloc[9:] .reset_index(drop=True) ) tm.assert_series_equal(result, expected) @pytest.mark.parametrize("q", [0.0, 0.1, 0.5, 0.9, 1.0]) def test_center_reindex_series(series, q): # shifter index s = [f"x{x:d}" for x in range(12)] series_xp = ( series.reindex(list(series.index) + s) .rolling(window=25) .quantile(q) .shift(-12) .reindex(series.index) ) series_rs = series.rolling(window=25, center=True).quantile(q) tm.assert_series_equal(series_xp, series_rs) @pytest.mark.parametrize("q", [0.0, 0.1, 0.5, 0.9, 1.0]) def test_center_reindex_frame(frame, q): # shifter index s = [f"x{x:d}" for x in range(12)] frame_xp = ( frame.reindex(list(frame.index) + s) .rolling(window=25) .quantile(q) .shift(-12) .reindex(frame.index) ) frame_rs = frame.rolling(window=25, center=True).quantile(q) tm.assert_frame_equal(frame_xp, frame_rs)