Propagate missing values in Stats.cov from Stats.stdDev. (#552)

src/Deedle.Math/Stats.fs

@@ -140,7 +140,7 @@ type Stats =
   static member covMatrix (df:Frame<'R, 'C>) =
     // Treat nan as zero, the same as MATLAB
     let corr = Stats.corrMatrix(df) |> Matrix.map(fun x -> if Double.IsNaN x then 0. else x)
-    let stdev = df |> Stats.stdDev |> Series.values |> Array.ofSeq
+    let stdev = df |> Stats.stdDev |> Series.valuesAll |> Seq.map (Option.defaultValue nan) |> Array.ofSeq
     let stdevDiag = DenseMatrix.ofDiagArray stdev
     stdevDiag * corr * stdevDiag
 

tests/Deedle.Math.Tests/Stats.fs

@@ -66,3 +66,22 @@ let ``cov2Corr and corr2Cov work`` () =
   let actual = Stats.corr2Cov(std, corr).GetColumnAt<float>(0).GetAt(0)
   let expected = cov.GetColumnAt<float>(0).GetAt(0)
   actual |> should beWithin (expected +/- 1e-6)
+
+[<Test>]
+let ``cov propogates missing values when stddev produces missing values`` () =
+  let returns =
+    Frame.ofColumns [ "A"
+                      => series [ DateTime(2022, 11, 1) => 0.
+                                  DateTime(2022, 11, 2) => 0. ]
+                      "B" => series [ DateTime(2022, 11, 1) => 0. ] ]
+
+  let cov = returns |> Stats.cov
+
+  let expected =
+    Frame.ofRowKeys [ "A"; "B" ]
+    |> Frame.addCol "A" (series [ "A" => 0. ])
+    |> Frame.addCol "B" (series [])
+
+  cov
+  |> Frame.toMatrix
+  |> shouldEqual (expected |> Frame.toMatrix)