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@jreback jreback commented Jan 15, 2018

closes #17917

    before     after       ratio
  [aa9e0024] [872fe711]
-     1.70s    16.02ms      0.01  rolling.Pairwise.time_pairwise(None, 'corr', True)
-     1.84s    17.12ms      0.01  rolling.Pairwise.time_pairwise(10, 'corr', True)
-     1.84s    16.98ms      0.01  rolling.Pairwise.time_pairwise(1000, 'corr', True)
-     1.74s    15.59ms      0.01  rolling.Pairwise.time_pairwise(None, 'cov', True)
-     1.77s    15.63ms      0.01  rolling.Pairwise.time_pairwise(1000, 'cov', True)
-     1.83s    14.62ms      0.01  rolling.Pairwise.time_pairwise(10, 'cov', True)

@jreback jreback added Performance Memory or execution speed performance Reshaping Concat, Merge/Join, Stack/Unstack, Explode labels Jan 15, 2018
@jreback jreback added this to the 0.23.0 milestone Jan 15, 2018
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jreback commented Jan 15, 2018

cc @grumpyquant

if you'd give this a test drive. handling the MI is somewhat non-trivial here.

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codecov bot commented Jan 27, 2018

Codecov Report

Merging #19257 into master will decrease coverage by 0.01%.
The diff coverage is 100%.

Impacted file tree graph

@@            Coverage Diff             @@
##           master   #19257      +/-   ##
==========================================
- Coverage   91.67%   91.65%   -0.02%     
==========================================
  Files         148      150       +2     
  Lines       48542    48722     +180     
==========================================
+ Hits        44501    44657     +156     
- Misses       4041     4065      +24
Flag Coverage Δ
#multiple 90.02% <100%> (-0.02%) ⬇️
#single 41.74% <0%> (+0.02%) ⬆️
Impacted Files Coverage Δ
pandas/core/reshape/pivot.py 96.97% <100%> (+0.62%) ⬆️
pandas/core/window.py 96.32% <100%> (ø) ⬆️
pandas/core/indexes/accessors.py 90% <0%> (-0.2%) ⬇️
pandas/core/internals.py 95.46% <0%> (-0.01%) ⬇️
pandas/core/generic.py 95.91% <0%> (-0.01%) ⬇️
pandas/stats/api.py 100% <0%> (ø)
pandas/stats/moments.py 70.81% <0%> (ø)
pandas/core/frame.py 97.62% <0%> (+0.2%) ⬆️
pandas/core/indexes/multi.py 96.14% <0%> (+0.99%) ⬆️
pandas/plotting/_converter.py 66.95% <0%> (+1.73%) ⬆️

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@jreback jreback merged commit b5dd6a3 into pandas-dev:master Feb 1, 2018
harisbal pushed a commit to harisbal/pandas that referenced this pull request Feb 28, 2018
* PERF: remove use of Panel & perf in rolling corr/cov

closes pandas-dev#17917
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performance regression in ewm.corr(pairwise=True)
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