Use a more helpful error message for invalid correlation methods in DataFrame.corr

doc/source/whatsnew/v0.24.0.txt

@@ -468,6 +468,7 @@ Other API Changes
 - :meth:`PeriodIndex.tz_convert` and :meth:`PeriodIndex.tz_localize` have been removed (:issue:`21781`)
 - :class:`Index` subtraction will attempt to operate element-wise instead of raising ``TypeError`` (:issue:`19369`)
 - :class:`pandas.io.formats.style.Styler` supports a ``number-format`` property when using :meth:`~pandas.io.formats.style.Styler.to_excel` (:issue:`22015`)
+- :meth:`DataFrame.corr` now raises a ``ValueError`` instead of a ``KeyError`` when supplied with an invalid method.
 
 .. _whatsnew_0240.deprecations:
 

pandas/core/frame.py

@@ -6658,7 +6658,7 @@ def corr(self, method='pearson', min_periods=1):
         elif method == 'spearman':
             correl = libalgos.nancorr_spearman(ensure_float64(mat),
                                                minp=min_periods)
-        else:
+        elif method == 'kendall':
             if min_periods is None:
                 min_periods = 1
             mat = ensure_float64(mat).T
@@ -6682,6 +6682,9 @@ def corr(self, method='pearson', min_periods=1):
                         c = corrf(ac, bc)
                     correl[i, j] = c
                     correl[j, i] = c
+        else:
+            raise ValueError("method must be either 'pearson', "
+                             "'spearman' or 'kendall'")
 
         return self._constructor(correl, index=idx, columns=cols)
 

pandas/tests/frame/test_analytics.py

@@ -130,6 +130,11 @@ def test_corr_cov_independent_index_column(self):
             assert result.index is not result.columns
             assert result.index.equals(result.columns)
 
+    def test_corr_invalid_method(self):
+        df = pd.DataFrame(np.random.normal(size=(10, 2)))
+        with pytest.raises(ValueError):
+            df.corr(method="____")
+
     def test_cov(self):
         # min_periods no NAs (corner case)
         expected = self.frame.cov()