python移動窗口函數

rolling_count 計算各個窗口中非NA觀測值的數量

函數

pandas.rolling_count(arg, window, freq=None, center=False, how=None)

arg : DataFrame 或 numpy的ndarray 數組格式 
window : 指移動窗口的大小，為整數 
freq : 
center : 布爾型，默認為False, 指取中間的 
how : 字符串，默認為“mean”,為down- 或re-sampling

import pandas as pd import numpy as np df = pd.DataFrame({'key1':['a','a','b','b','a'], 'key2':['one','two','one','two','one'], 'data1':np.nan, 'data2':np.random.randn(5)}) df 

pd.rolling_count(df[['data1','data2']],window = 3)

rolling_sum 移動窗口的和

pandas.rolling_sum(arg, window, min_periods=None, freq=None, center=False, how=None, **kwargs)

arg : 為Series或DataFrame 
window : 窗口的大小 
min_periods : 最小的觀察數值個數 
freq : 
center : 布爾型，默認為False, 指取中間的 
how : 取值的方式，默認為None

pd.rolling_sum(df,window = 2,min_periods = 1)

rolling_mean 移動窗口的均值

pandas.rolling_mean(arg, window, min_periods=None, freq=None, center=False, how=None, **kwargs) 

rolling_median 移動窗口的中位數

pandas.rolling_median(arg, window, min_periods=None, freq=None, center=False, how='median', **kwargs) 

rolling_var 移動窗口的方差

pandas.rolling_var(arg, window, min_periods=None, freq=None, center=False, how=None, **kwargs)

rolling_std 移動窗口的標准差

pandas.rolling_std(arg, window, min_periods=None, freq=None, center=False, how=None, **kwargs)

rolling_min 移動窗口的最小值

pandas.rolling_min(arg, window, min_periods=None, freq=None, center=False, how='min', **kwargs)

rolling_max 移動窗口的最大值

pandas.rolling_min(arg, window, min_periods=None, freq=None, center=False, how='min', **kwargs)

rolling_corr 移動窗口的相關系數

pandas.rolling_corr(arg1, arg2=None, window=None, min_periods=None, freq=None, center=False, pairwise=None, how=None)

rolling_corr_pairwise 配對數據的相關系數

等價於: rolling_corr(…, pairwise=True)

pandas.rolling_corr_pairwise(df1, df2=None, window=None, min_periods=None, freq=None, center=False)

rolling_cov 移動窗口的協方差

pandas.rolling_cov(arg1, arg2=None, window=None, min_periods=None, freq=None, center=False, pairwise=None, how=None, ddof=1)

rolling_skew 移動窗口的偏度（三階矩）

pandas.rolling_skew(arg, window, min_periods=None, freq=None, center=False, how=None, **kwargs)

rolling_kurt 移動窗口的峰度（四階矩）

pandas.rolling_kurt(arg, window, min_periods=None, freq=None, center=False, how=None, **kwargs)

rolling_apply 對移動窗口應用普通數組函數

pandas.rolling_apply(arg, window, func, min_periods=None, freq=None, center=False, args=(), kwargs={})

rolling_quantile 移動窗口分位數函數

pandas.rolling_quantile(arg, window, quantile, min_periods=None, freq=None, center=False)

rolling_window 移動窗口

pandas.rolling_window(arg, window=None, win_type=None, min_periods=None, freq=None, center=False, mean=True, axis=0, how=None, **kwargs)

ewma 指數加權移動

ewma(arg[, com, span, halflife, ...])

ewmstd 指數加權移動標准差

ewmstd(arg[, com, span, halflife, ...])

ewmvar 指數加權移動方差

ewmvar(arg[, com, span, halflife, ...])

ewmcorr 指數加權移動相關系數

ewmcorr(arg1[, arg2, com, span, halflife, ...])

ewmcov 指數加權移動協方差

ewmcov(arg1[, arg2, com, span, halflife, ...])