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test: cover ts_cov window semantics #70

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Merged
initial-d merged 1 commit into from
Sep 17, 2026
Merged

test: cover ts_cov window semantics #70

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15 changes: 14 additions & 1 deletion tests/test_tensor_factors.py
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Original file line number Diff line number Diff line change
Expand Up @@ -9,7 +9,7 @@
cs_rank, cs_zscore,
delay, delta,
ewma,
ts_corr, ts_max, ts_mean, ts_min, ts_rank, ts_std, ts_sum,
ts_corr, ts_cov, ts_max, ts_mean, ts_min, ts_rank, ts_std, ts_sum,
)


Expand Down Expand Up @@ -84,6 +84,19 @@ def test_ts_rank_last_element_in_window():
assert torch.equal(out_mask, expected_mask)


def test_ts_cov_window_semantics():
x = torch.tensor([[1.0, 2.0], [2.0, 4.0], [3.0, 6.0], [4.0, 8.0]])
y = torch.tensor([[2.0, 1.0], [4.0, 2.0], [6.0, 3.0], [8.0, 4.0]])
mask = torch.ones_like(x, dtype=torch.bool)
out, out_mask = ts_cov(x, y, mask, 3)

expected = torch.tensor([[0.0, 0.0], [0.0, 0.0], [2.0, 2.0], [2.0, 2.0]])
expected_mask = torch.tensor([[False, False], [False, False], [True, True], [True, True]])

torch.testing.assert_close(out, expected)
assert torch.equal(out_mask, expected_mask)


def test_ts_corr_matches_pandas(random_panel_tensors):
x, mask = random_panel_tensors
rng = np.random.default_rng(1)
Expand Down