grantjenks
Time Based ExponentialMovingStatistics and ExponentialCovariance
Main features:
- Changed ExponentialStatistics name to ExponentialMovingStatistics (Issue #28)
- Implemented time-based discounting for ExponentialMovingStatistics (Issue #28) (incl. Readme)
- Implemented ExponentialMovingCovariance (incl. Readme)
- https://reasonabledeviations.com/2018/08/15/exponential-covariance/
- https://vlab.stern.nyu.edu/docs/correlation/EWMA-COV
- Equivalent of ExponetialMovingStatistics for Covariance and Correlation
Smaller fixes/changes/features:
- Updated Readme for link to Finch Paper for ExponetialMovingStatistics
- Adjusted clear method of ExponentialMovingStatistics: Goes back to state at object construction, does not accept any arguments for modification. I think that fits better to the behavior of the other classes. Modification is still possible over other methods.
- Extended tests for ExponentialMovingStatistics against a true (non-moving) exponential mean and variance formulation
Problems:
I have done my best to resolve all issues that are raised by the CI pipeline. However, I could not resolve all of them. You've been just changing the structure of the project including the CI pipeline and the way Cython is compiled. Thus, I guess you should be able to identify the sources of these problems fairly quickly.
- Integration test fails: Its the lines in the Readme where
RunStats_ is used. I don't know why this is happening.
docs/index.rst:4: D000 Unknown target name: "runstats".
docs/index.rst:30: D000 Unknown target name: "runstats".
docs/index.rst:60: D000 Unknown target name: "runstats".
docs/index.rst:85: D000 Unknown target name: "runstats".
docs/index.rst:380: D000 Unknown target name: "runstats".
- Locally running tox also complains in Readme about:
>>> import runstats.core # Pure-Python
>>> runstats.core.Statistics
<class 'runstats.core.Statistics'>
Expected:
<class 'runstats.core.Statistics'>
Got:
<class 'runstats._core.Statistics'>
When changing in the Readme <class 'runstats.core.Statistics'> to <class 'runstats._core.Statistics'> this does not resolve the issue. Since currently in the main repositories master branch its <class 'runstats.core.Statistics'> I left it that way.
- Test coverage: When locally running
tox -e pyit tells me that there is 98% test coverage and reports missing lines
402->405, 405, 412->413, 413, 418->419, 419
These are the lines where Exceptions are raised in the new freeze() and unfreeze() methods. However, these are being tested by test_raise_if_not_time_exp_stats()
- I'd recommend merging the PR onto another branch and checking this out yourself.
One thing I forgot to mention: I have not implemented the ExponentialMovingCovariance in a time-based fashion because I wanted to first get feedback from you on the how it is implemented for the ExponentialMovingStatistics.
Hi @alanmazankiewicz 👋 I updated the testing and Cythonizing. Could you rebase and get the CI executions passing?
Can you have a look at the pipeline failure of this PR: https://github.com/alanmazankiewicz/python-runstats/pull/1/checks?check_run_id=2978450007. Its a merge from my "rebase" branch onto my "master" branch. I created it to test the pipeline. The pipeline fails at "test (ubuntu-latests, 3.x)" with
_pytest.pathlib.ImportPathMismatchError: ('runstats.core', '/home/runner/work/python-runstats/python-runstats/.tox/py/lib/python3.8/site-packages/runstats/core.py', PosixPath('/home/runner/work/python-runstats/python-runstats/runstats/core.py'))
Have you encountered that issue before? When I locally checkout the remote/upstream/master branch (your current version) and run tox -e py or tox I run into the same error. I found following issue in it: https://github.com/pytest-dev/pytest/issues/2042. Trying out the proposed solution (export PY_IGNORE_IMPORTMISMATCH=1 ) locally did not solve it.
I'm not sure how it worked before but it should be fixed now on master. Please rebase.
Pull Request Rebased. The Problems mentioned in the description are not present anymore.