Minor refactor of z-score to use the correct standard deviation #136
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❗ Your organization needs to install the Codecov GitHub app to enable full functionality. @@ Coverage Diff @@
## master #136 +/- ##
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+ Coverage 76.71% 76.81% +0.09%
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Files 227 227
Lines 9071 9071
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+ Hits 6959 6968 +9
+ Misses 2112 2103 -9 see 1 file with indirect coverage changes Continue to review full report in Codecov by Sentry.
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eirik-thorp
reviewed
Nov 14, 2023
| @@ -13,25 +13,17 @@ | |||
| # limitations under the License. | |||
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| from numpy import log | |||
| from qf_lib.common.utils.numberutils.is_finite_number import is_finite_number | |||
| from qf_lib.containers.series.qf_series import QFSeries | |||
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| def z_score_outliers_cut(series: QFSeries) -> QFSeries: | |||
| """ Compute z-score for a series with logarithm the series and cutting std above 2 and -2 """ | |||
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(old) grammatical error in the docstring
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Also the std is not cut, it's the z-score
| shift_value = 1 - clean_series.min() | ||
| log_series = log(clean_series.values.astype(float) + shift_value) | ||
| shift_value = 1 - series.min() | ||
| log_series = log(series.astype(float) + shift_value) | ||
| result = (log_series - log_series.mean()) / log_series.std() | ||
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| # constraint the limits at +-2 | ||
| result = result.clip(-2, 2) |
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This should probably be a parameter?
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