方差与协方差

方差/标准差是有量纲的， 协方差放映的想相关关系(不是相关系数)， 是不受量纲影响的

#环境&数据准备
import sys as sy
import numpy as np
import pandas as pd
import tushare as ts
import pyecharts as pye
from sklearn import datasets as ds
import matplotlib as mpl
from matplotlib import pyplot as plt
import seaborn as sns
import pyecharts as pye

#读入美的“000333”2017-01-01 到 2018-11-08复权后数据
df_000333 = ts.get_h_data('000333', start='2017-01-01', end='2018-11-8') 
df_sz = ts.get_hist_data('sz',start='2017-01-01', end='2018-11-8') 


df_tmp1 = pd.DataFrame()
df_tmp2 = pd.DataFrame()

df_tmp1['cp_000333'] = df_000333.close
df_tmp2['cp_sz'] = df_sz.close

df_tmp = df_tmp1.join(df_tmp2)

# 方差是有量纲的
print(np.var(df_tmp.cp_000333))
print(np.var(df_tmp.cp_000333*10))

# 同样标准差也是有量纲的
print(np.std(df_tmp.cp_000333))
print(np.std(df_tmp.cp_000333*10))

# 协方差是没有量纲的
a = np.cov(df_tmp.cp_000333, df_tmp.cp_sz)
b = np.cov(df_tmp.cp_000333, df_tmp.cp_sz*10)
           
print(np.cov(df_tmp.cp_000333, df_tmp.cp_sz))
print(np.cov(df_tmp.cp_000333, df_tmp.cp_sz*10))