pandas.core.window.Rolling.corr

Rolling.corr(self, other=None, pairwise=None, **kwargs)

Calculate rolling correlation.

Parameters:

other : Series, DataFrame, or ndarray, optional

If not supplied then will default to self.

pairwise : bool, default None

Calculate pairwise combinations of columns within a DataFrame. If other is not specified, defaults to True, otherwise defaults to False. Not relevant for Series.

**kwargs

Unused.

Returns:

Series or DataFrame

Returned object type is determined by the caller of the rolling calculation.

See also

Series.rolling

Calling object with Series data.

DataFrame.rolling

Calling object with DataFrames.

Series.corr

Equivalent method for Series.

DataFrame.corr

Equivalent method for DataFrame.

rolling.cov

Similar method to calculate covariance.

numpy.corrcoef

NumPy Pearson’s correlation calculation.

Notes

This function uses Pearson’s definition of correlation (https://en.wikipedia.org/wiki/Pearson_correlation_coefficient).

When other is not specified, the output will be self correlation (e.g. all 1’s), except for DataFrame inputs with pairwise set to True.

Function will return NaN for correlations of equal valued sequences; this is the result of a 0/0 division error.

When pairwise is set to False, only matching columns between self and other will be used.

When pairwise is set to True, the output will be a MultiIndex DataFrame with the original index on the first level, and the other DataFrame columns on the second level.

In the case of missing elements, only complete pairwise observations will be used.

Examples

The below example shows a rolling calculation with a window size of four matching the equivalent function call using numpy.corrcoef().

>>> v1 = [3, 3, 3, 5, 8]
>>> v2 = [3, 4, 4, 4, 8]
>>> fmt = "{0:.6f}"  # limit the printed precision to 6 digits
>>> # numpy returns a 2X2 array, the correlation coefficient
>>> # is the number at entry [0][1]
>>> print(fmt.format(np.corrcoef(v1[:-1], v2[:-1])[0][1]))
0.333333
>>> print(fmt.format(np.corrcoef(v1[1:], v2[1:])[0][1]))
0.916949
>>> s1 = pd.Series(v1)
>>> s2 = pd.Series(v2)
>>> s1.rolling(4).corr(s2)
0         NaN
1         NaN
2         NaN
3    0.333333
4    0.916949
dtype: float64

The below example shows a similar rolling calculation on a DataFrame using the pairwise option.

>>> matrix = np.array([[51., 35.], [49., 30.], [47., 32.],    [46., 31.], [50., 36.]])
>>> print(np.corrcoef(matrix[:-1,0], matrix[:-1,1]).round(7))
[[1.         0.6263001]
 [0.6263001  1.       ]]
>>> print(np.corrcoef(matrix[1:,0], matrix[1:,1]).round(7))
[[1.         0.5553681]
 [0.5553681  1.        ]]
>>> df = pd.DataFrame(matrix, columns=['X','Y'])
>>> df
      X     Y
0  51.0  35.0
1  49.0  30.0
2  47.0  32.0
3  46.0  31.0
4  50.0  36.0
>>> df.rolling(4).corr(pairwise=True)
            X         Y
0 X       NaN       NaN
  Y       NaN       NaN
1 X       NaN       NaN
  Y       NaN       NaN
2 X       NaN       NaN
  Y       NaN       NaN
3 X  1.000000  0.626300
  Y  0.626300  1.000000
4 X  1.000000  0.555368
  Y  0.555368  1.000000