Corr计算问题

[Desman107]

在alphagen.data.expression

class Corr(PairRollingOperator):
    def _apply(self, lhs: Tensor, rhs: Tensor) -> Tensor:
        clhs = lhs - lhs.mean(dim=-1, keepdim=True)
        crhs = rhs - rhs.mean(dim=-1, keepdim=True)
        ncov = (clhs * crhs).sum(dim=-1) # 这里似乎少除了n - 1
        nlvar = (clhs ** 2).sum(dim=-1)
        nrvar = (crhs ** 2).sum(dim=-1)
        stdmul = (nlvar * nrvar).sqrt()
        stdmul[(nlvar < 1e-6) | (nrvar < 1e-6)] = 1
        return ncov / stdmul