/usr/lib/python3/dist-packages/pandas/stats/moments.py is in python3-pandas 0.13.1-2ubuntu2.
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Provides rolling statistical moments and related descriptive
statistics implemented in Cython
"""
from __future__ import division
from functools import wraps
from numpy import NaN
import numpy as np
from pandas.core.api import DataFrame, Series, Panel, notnull
import pandas.algos as algos
import pandas.core.common as com
from pandas.core.common import _values_from_object
from pandas.util.decorators import Substitution, Appender
__all__ = ['rolling_count', 'rolling_max', 'rolling_min',
'rolling_sum', 'rolling_mean', 'rolling_std', 'rolling_cov',
'rolling_corr', 'rolling_var', 'rolling_skew', 'rolling_kurt',
'rolling_quantile', 'rolling_median', 'rolling_apply',
'rolling_corr_pairwise', 'rolling_window',
'ewma', 'ewmvar', 'ewmstd', 'ewmvol', 'ewmcorr', 'ewmcov',
'expanding_count', 'expanding_max', 'expanding_min',
'expanding_sum', 'expanding_mean', 'expanding_std',
'expanding_cov', 'expanding_corr', 'expanding_var',
'expanding_skew', 'expanding_kurt', 'expanding_quantile',
'expanding_median', 'expanding_apply', 'expanding_corr_pairwise']
#------------------------------------------------------------------------------
# Docs
_doc_template = """
%s
Parameters
----------
%s
window : Number of observations used for calculating statistic
min_periods : int
Minimum number of observations in window required to have a value
freq : None or string alias / date offset object, default=None
Frequency to conform to before computing statistic
time_rule is a legacy alias for freq
Returns
-------
%s
"""
_ewm_doc = r"""%s
Parameters
----------
%s
com : float. optional
Center of mass: :math:`\alpha = 1 / (1 + com)`,
span : float, optional
Specify decay in terms of span, :math:`\alpha = 2 / (span + 1)`
halflife : float, optional
Specify decay in terms of halflife, :math: `\alpha = 1 - exp(log(0.5) / halflife)`
min_periods : int, default 0
Number of observations in sample to require (only affects
beginning)
freq : None or string alias / date offset object, default=None
Frequency to conform to before computing statistic
time_rule is a legacy alias for freq
adjust : boolean, default True
Divide by decaying adjustment factor in beginning periods to account for
imbalance in relative weightings (viewing EWMA as a moving average)
%s
Notes
-----
Either center of mass or span must be specified
EWMA is sometimes specified using a "span" parameter s, we have have that the
decay parameter :math:`\alpha` is related to the span as
:math:`\alpha = 2 / (s + 1) = 1 / (1 + c)`
where c is the center of mass. Given a span, the associated center of mass is
:math:`c = (s - 1) / 2`
So a "20-day EWMA" would have center 9.5.
Returns
-------
y : type of input argument
"""
_expanding_doc = """
%s
Parameters
----------
%s
min_periods : int
Minimum number of observations in window required to have a value
freq : None or string alias / date offset object, default=None
Frequency to conform to before computing statistic
Returns
-------
%s
"""
_type_of_input = "y : type of input argument"
_flex_retval = """y : type depends on inputs
DataFrame / DataFrame -> DataFrame (matches on columns)
DataFrame / Series -> Computes result for each column
Series / Series -> Series"""
_unary_arg = "arg : Series, DataFrame"
_binary_arg_flex = """arg1 : Series, DataFrame, or ndarray
arg2 : Series, DataFrame, or ndarray"""
_binary_arg = """arg1 : Series, DataFrame, or ndarray
arg2 : Series, DataFrame, or ndarray"""
_bias_doc = r"""bias : boolean, default False
Use a standard estimation bias correction
"""
def rolling_count(arg, window, freq=None, center=False, time_rule=None):
"""
Rolling count of number of non-NaN observations inside provided window.
Parameters
----------
arg : DataFrame or numpy ndarray-like
window : Number of observations used for calculating statistic
freq : None or string alias / date offset object, default=None
Frequency to conform to before computing statistic
center : boolean, default False
Whether the label should correspond with center of window
time_rule : Legacy alias for freq
Returns
-------
rolling_count : type of caller
"""
arg = _conv_timerule(arg, freq, time_rule)
window = min(window, len(arg))
return_hook, values = _process_data_structure(arg, kill_inf=False)
converted = np.isfinite(values).astype(float)
result = rolling_sum(converted, window, min_periods=1,
center=center) # already converted
# putmask here?
result[np.isnan(result)] = 0
return return_hook(result)
@Substitution("Unbiased moving covariance", _binary_arg_flex, _flex_retval)
@Appender(_doc_template)
def rolling_cov(arg1, arg2, window, min_periods=None, freq=None,
center=False, time_rule=None):
arg1 = _conv_timerule(arg1, freq, time_rule)
arg2 = _conv_timerule(arg2, freq, time_rule)
window = min(window, len(arg1), len(arg2))
def _get_cov(X, Y):
mean = lambda x: rolling_mean(x, window, min_periods,center=center)
count = rolling_count(X + Y, window,center=center)
bias_adj = count / (count - 1)
return (mean(X * Y) - mean(X) * mean(Y)) * bias_adj
rs = _flex_binary_moment(arg1, arg2, _get_cov)
return rs
@Substitution("Moving sample correlation", _binary_arg_flex, _flex_retval)
@Appender(_doc_template)
def rolling_corr(arg1, arg2, window, min_periods=None, freq=None,
center=False, time_rule=None):
def _get_corr(a, b):
num = rolling_cov(a, b, window, min_periods, freq=freq,
center=center, time_rule=time_rule)
den = (rolling_std(a, window, min_periods, freq=freq,
center=center, time_rule=time_rule) *
rolling_std(b, window, min_periods, freq=freq,
center=center, time_rule=time_rule))
return num / den
return _flex_binary_moment(arg1, arg2, _get_corr)
def _flex_binary_moment(arg1, arg2, f):
if not (isinstance(arg1,(np.ndarray, Series, DataFrame)) and
isinstance(arg2,(np.ndarray, Series, DataFrame))):
raise TypeError("arguments to moment function must be of type "
"np.ndarray/Series/DataFrame")
if isinstance(arg1, (np.ndarray,Series)) and isinstance(arg2, (np.ndarray,Series)):
X, Y = _prep_binary(arg1, arg2)
return f(X, Y)
elif isinstance(arg1, DataFrame):
results = {}
if isinstance(arg2, DataFrame):
X, Y = arg1.align(arg2, join='outer')
X = X + 0 * Y
Y = Y + 0 * X
res_columns = arg1.columns.union(arg2.columns)
for col in res_columns:
if col in X and col in Y:
results[col] = f(X[col], Y[col])
else:
res_columns = arg1.columns
X, Y = arg1.align(arg2, axis=0, join='outer')
results = {}
for col in res_columns:
results[col] = f(X[col], Y)
return DataFrame(results, index=X.index, columns=res_columns)
else:
return _flex_binary_moment(arg2, arg1, f)
def rolling_corr_pairwise(df, window, min_periods=None):
"""
Computes pairwise rolling correlation matrices as Panel whose items are
dates
Parameters
----------
df : DataFrame
window : int
min_periods : int, default None
Returns
-------
correls : Panel
"""
from pandas import Panel
from collections import defaultdict
all_results = defaultdict(dict)
for i, k1 in enumerate(df.columns):
for k2 in df.columns[i:]:
corr = rolling_corr(df[k1], df[k2], window,
min_periods=min_periods)
all_results[k1][k2] = corr
all_results[k2][k1] = corr
return Panel.from_dict(all_results).swapaxes('items', 'major')
def _rolling_moment(arg, window, func, minp, axis=0, freq=None,
center=False, time_rule=None, **kwargs):
"""
Rolling statistical measure using supplied function. Designed to be
used with passed-in Cython array-based functions.
Parameters
----------
arg : DataFrame or numpy ndarray-like
window : Number of observations used for calculating statistic
func : Cython function to compute rolling statistic on raw series
minp : int
Minimum number of observations required to have a value
axis : int, default 0
freq : None or string alias / date offset object, default=None
Frequency to conform to before computing statistic
center : boolean, default False
Whether the label should correspond with center of window
time_rule : Legacy alias for freq
Returns
-------
y : type of input
"""
arg = _conv_timerule(arg, freq, time_rule)
calc = lambda x: func(x, window, minp=minp, **kwargs)
return_hook, values = _process_data_structure(arg)
# actually calculate the moment. Faster way to do this?
if values.ndim > 1:
result = np.apply_along_axis(calc, axis, values)
else:
result = calc(values)
rs = return_hook(result)
if center:
rs = _center_window(rs, window, axis)
return rs
def _center_window(rs, window, axis):
if axis > rs.ndim-1:
raise ValueError("Requested axis is larger then no. of argument dimensions")
offset = int((window - 1) / 2.)
if isinstance(rs, (Series, DataFrame, Panel)):
rs = rs.shift(-offset, axis=axis)
else:
rs_indexer = [slice(None)] * rs.ndim
rs_indexer[axis] = slice(None, -offset)
lead_indexer = [slice(None)] * rs.ndim
lead_indexer[axis] = slice(offset, None)
na_indexer = [slice(None)] * rs.ndim
na_indexer[axis] = slice(-offset, None)
rs[tuple(rs_indexer)] = np.copy(rs[tuple(lead_indexer)])
rs[tuple(na_indexer)] = np.nan
return rs
def _process_data_structure(arg, kill_inf=True):
if isinstance(arg, DataFrame):
return_hook = lambda v: type(arg)(v, index=arg.index,
columns=arg.columns)
values = arg.values
elif isinstance(arg, Series):
values = arg.values
return_hook = lambda v: Series(v, arg.index)
else:
return_hook = lambda v: v
values = arg
if not issubclass(values.dtype.type, float):
values = values.astype(float)
if kill_inf:
values = values.copy()
values[np.isinf(values)] = np.NaN
return return_hook, values
#------------------------------------------------------------------------------
# Exponential moving moments
def _get_center_of_mass(com, span, halflife):
valid_count = len([x for x in [com, span, halflife] if x is not None])
if valid_count > 1:
raise Exception("com, span, and halflife are mutually exclusive")
if span is not None:
# convert span to center of mass
com = (span - 1) / 2.
elif halflife is not None:
# convert halflife to center of mass
decay = 1 - np.exp(np.log(0.5) / halflife)
com = 1 / decay - 1
elif com is None:
raise Exception("Must pass one of com, span, or halflife")
return float(com)
@Substitution("Exponentially-weighted moving average", _unary_arg, "")
@Appender(_ewm_doc)
def ewma(arg, com=None, span=None, halflife=None, min_periods=0, freq=None, time_rule=None,
adjust=True):
com = _get_center_of_mass(com, span, halflife)
arg = _conv_timerule(arg, freq, time_rule)
def _ewma(v):
result = algos.ewma(v, com, int(adjust))
first_index = _first_valid_index(v)
result[first_index: first_index + min_periods] = NaN
return result
return_hook, values = _process_data_structure(arg)
output = np.apply_along_axis(_ewma, 0, values)
return return_hook(output)
def _first_valid_index(arr):
# argmax scans from left
return notnull(arr).argmax() if len(arr) else 0
@Substitution("Exponentially-weighted moving variance", _unary_arg, _bias_doc)
@Appender(_ewm_doc)
def ewmvar(arg, com=None, span=None, halflife=None, min_periods=0, bias=False,
freq=None, time_rule=None):
com = _get_center_of_mass(com, span, halflife)
arg = _conv_timerule(arg, freq, time_rule)
moment2nd = ewma(arg * arg, com=com, min_periods=min_periods)
moment1st = ewma(arg, com=com, min_periods=min_periods)
result = moment2nd - moment1st ** 2
if not bias:
result *= (1.0 + 2.0 * com) / (2.0 * com)
return result
@Substitution("Exponentially-weighted moving std", _unary_arg, _bias_doc)
@Appender(_ewm_doc)
def ewmstd(arg, com=None, span=None, halflife=None, min_periods=0, bias=False,
time_rule=None):
result = ewmvar(arg, com=com, span=span, halflife=halflife, time_rule=time_rule,
min_periods=min_periods, bias=bias)
return _zsqrt(result)
ewmvol = ewmstd
@Substitution("Exponentially-weighted moving covariance", _binary_arg, "")
@Appender(_ewm_doc)
def ewmcov(arg1, arg2, com=None, span=None, halflife=None, min_periods=0, bias=False,
freq=None, time_rule=None):
X, Y = _prep_binary(arg1, arg2)
X = _conv_timerule(X, freq, time_rule)
Y = _conv_timerule(Y, freq, time_rule)
mean = lambda x: ewma(x, com=com, span=span, halflife=halflife, min_periods=min_periods)
result = (mean(X * Y) - mean(X) * mean(Y))
com = _get_center_of_mass(com, span, halflife)
if not bias:
result *= (1.0 + 2.0 * com) / (2.0 * com)
return result
@Substitution("Exponentially-weighted moving " "correlation", _binary_arg, "")
@Appender(_ewm_doc)
def ewmcorr(arg1, arg2, com=None, span=None, halflife=None, min_periods=0,
freq=None, time_rule=None):
X, Y = _prep_binary(arg1, arg2)
X = _conv_timerule(X, freq, time_rule)
Y = _conv_timerule(Y, freq, time_rule)
mean = lambda x: ewma(x, com=com, span=span, halflife=halflife, min_periods=min_periods)
var = lambda x: ewmvar(x, com=com, span=span, halflife=halflife, min_periods=min_periods,
bias=True)
return (mean(X * Y) - mean(X) * mean(Y)) / _zsqrt(var(X) * var(Y))
def _zsqrt(x):
result = np.sqrt(x)
mask = x < 0
if isinstance(x, DataFrame):
if mask.values.any():
result[mask] = 0
else:
if mask.any():
result[mask] = 0
return result
def _prep_binary(arg1, arg2):
if not isinstance(arg2, type(arg1)):
raise Exception('Input arrays must be of the same type!')
# mask out values, this also makes a common index...
X = arg1 + 0 * arg2
Y = arg2 + 0 * arg1
return X, Y
#----------------------------------------------------------------------
# Python interface to Cython functions
def _conv_timerule(arg, freq, time_rule):
if time_rule is not None:
import warnings
warnings.warn("time_rule argument is deprecated, replace with freq",
FutureWarning)
freq = time_rule
types = (DataFrame, Series)
if freq is not None and isinstance(arg, types):
# Conform to whatever frequency needed.
arg = arg.resample(freq)
return arg
def _require_min_periods(p):
def _check_func(minp, window):
if minp is None:
return window
else:
return max(p, minp)
return _check_func
def _use_window(minp, window):
if minp is None:
return window
else:
return minp
def _rolling_func(func, desc, check_minp=_use_window):
@Substitution(desc, _unary_arg, _type_of_input)
@Appender(_doc_template)
@wraps(func)
def f(arg, window, min_periods=None, freq=None, center=False,
time_rule=None, **kwargs):
def call_cython(arg, window, minp, **kwds):
minp = check_minp(minp, window)
return func(arg, window, minp, **kwds)
return _rolling_moment(arg, window, call_cython, min_periods,
freq=freq, center=center,
time_rule=time_rule, **kwargs)
return f
rolling_max = _rolling_func(algos.roll_max2, 'Moving maximum')
rolling_min = _rolling_func(algos.roll_min2, 'Moving minimum')
rolling_sum = _rolling_func(algos.roll_sum, 'Moving sum')
rolling_mean = _rolling_func(algos.roll_mean, 'Moving mean')
rolling_median = _rolling_func(algos.roll_median_cython, 'Moving median')
_ts_std = lambda *a, **kw: _zsqrt(algos.roll_var(*a, **kw))
rolling_std = _rolling_func(_ts_std, 'Unbiased moving standard deviation',
check_minp=_require_min_periods(1))
rolling_var = _rolling_func(algos.roll_var, 'Unbiased moving variance',
check_minp=_require_min_periods(1))
rolling_skew = _rolling_func(algos.roll_skew, 'Unbiased moving skewness',
check_minp=_require_min_periods(3))
rolling_kurt = _rolling_func(algos.roll_kurt, 'Unbiased moving kurtosis',
check_minp=_require_min_periods(4))
def rolling_quantile(arg, window, quantile, min_periods=None, freq=None,
center=False, time_rule=None):
"""Moving quantile
Parameters
----------
arg : Series, DataFrame
window : Number of observations used for calculating statistic
quantile : 0 <= quantile <= 1
min_periods : int
Minimum number of observations in window required to have a value
freq : None or string alias / date offset object, default=None
Frequency to conform to before computing statistic
center : boolean, default False
Whether the label should correspond with center of window
time_rule : Legacy alias for freq
Returns
-------
y : type of input argument
"""
def call_cython(arg, window, minp):
minp = _use_window(minp, window)
return algos.roll_quantile(arg, window, minp, quantile)
return _rolling_moment(arg, window, call_cython, min_periods,
freq=freq, center=center, time_rule=time_rule)
def rolling_apply(arg, window, func, min_periods=None, freq=None,
center=False, time_rule=None):
"""Generic moving function application
Parameters
----------
arg : Series, DataFrame
window : Number of observations used for calculating statistic
func : function
Must produce a single value from an ndarray input
min_periods : int
Minimum number of observations in window required to have a value
freq : None or string alias / date offset object, default=None
Frequency to conform to before computing statistic
center : boolean, default False
Whether the label should correspond with center of window
time_rule : Legacy alias for freq
Returns
-------
y : type of input argument
"""
def call_cython(arg, window, minp):
minp = _use_window(minp, window)
return algos.roll_generic(arg, window, minp, func)
return _rolling_moment(arg, window, call_cython, min_periods,
freq=freq, center=center, time_rule=time_rule)
def rolling_window(arg, window=None, win_type=None, min_periods=None,
freq=None, center=False, mean=True, time_rule=None,
axis=0, **kwargs):
"""
Applies a moving window of type ``window_type`` and size ``window``
on the data.
Parameters
----------
arg : Series, DataFrame
window : int or ndarray
Weighting window specification. If the window is an integer, then it is
treated as the window length and win_type is required
win_type : str, default None
Window type (see Notes)
min_periods : int
Minimum number of observations in window required to have a value.
freq : None or string alias / date offset object, default=None
Frequency to conform to before computing statistic
center : boolean, default False
Whether the label should correspond with center of window
mean : boolean, default True
If True computes weighted mean, else weighted sum
time_rule : Legacy alias for freq
axis : {0, 1}, default 0
Returns
-------
y : type of input argument
Notes
-----
The recognized window types are:
* ``boxcar``
* ``triang``
* ``blackman``
* ``hamming``
* ``bartlett``
* ``parzen``
* ``bohman``
* ``blackmanharris``
* ``nuttall``
* ``barthann``
* ``kaiser`` (needs beta)
* ``gaussian`` (needs std)
* ``general_gaussian`` (needs power, width)
* ``slepian`` (needs width).
"""
if isinstance(window, (list, tuple, np.ndarray)):
if win_type is not None:
raise ValueError(('Do not specify window type if using custom '
'weights'))
window = com._asarray_tuplesafe(window).astype(float)
elif com.is_integer(window): # window size
if win_type is None:
raise ValueError('Must specify window type')
try:
import scipy.signal as sig
except ImportError:
raise ImportError('Please install scipy to generate window weight')
win_type = _validate_win_type(win_type, kwargs) # may pop from kwargs
window = sig.get_window(win_type, window).astype(float)
else:
raise ValueError('Invalid window %s' % str(window))
minp = _use_window(min_periods, len(window))
arg = _conv_timerule(arg, freq, time_rule)
return_hook, values = _process_data_structure(arg)
f = lambda x: algos.roll_window(x, window, minp, avg=mean)
result = np.apply_along_axis(f, axis, values)
rs = return_hook(result)
if center:
rs = _center_window(rs, len(window), axis)
return rs
def _validate_win_type(win_type, kwargs):
# may pop from kwargs
arg_map = {'kaiser': ['beta'],
'gaussian': ['std'],
'general_gaussian': ['power', 'width'],
'slepian': ['width']}
if win_type in arg_map:
return tuple([win_type] +
_pop_args(win_type, arg_map[win_type], kwargs))
return win_type
def _pop_args(win_type, arg_names, kwargs):
msg = '%s window requires %%s' % win_type
all_args = []
for n in arg_names:
if n not in kwargs:
raise ValueError(msg % n)
all_args.append(kwargs.pop(n))
return all_args
def _expanding_func(func, desc, check_minp=_use_window):
@Substitution(desc, _unary_arg, _type_of_input)
@Appender(_expanding_doc)
@wraps(func)
def f(arg, min_periods=1, freq=None, center=False, time_rule=None,
**kwargs):
window = len(arg)
def call_cython(arg, window, minp, **kwds):
minp = check_minp(minp, window)
return func(arg, window, minp, **kwds)
return _rolling_moment(arg, window, call_cython, min_periods,
freq=freq, center=center,
time_rule=time_rule, **kwargs)
return f
expanding_max = _expanding_func(algos.roll_max2, 'Expanding maximum')
expanding_min = _expanding_func(algos.roll_min2, 'Expanding minimum')
expanding_sum = _expanding_func(algos.roll_sum, 'Expanding sum')
expanding_mean = _expanding_func(algos.roll_mean, 'Expanding mean')
expanding_median = _expanding_func(
algos.roll_median_cython, 'Expanding median')
expanding_std = _expanding_func(_ts_std,
'Unbiased expanding standard deviation',
check_minp=_require_min_periods(2))
expanding_var = _expanding_func(algos.roll_var, 'Unbiased expanding variance',
check_minp=_require_min_periods(2))
expanding_skew = _expanding_func(
algos.roll_skew, 'Unbiased expanding skewness',
check_minp=_require_min_periods(3))
expanding_kurt = _expanding_func(
algos.roll_kurt, 'Unbiased expanding kurtosis',
check_minp=_require_min_periods(4))
def expanding_count(arg, freq=None, center=False, time_rule=None):
"""
Expanding count of number of non-NaN observations.
Parameters
----------
arg : DataFrame or numpy ndarray-like
freq : None or string alias / date offset object, default=None
Frequency to conform to before computing statistic
center : boolean, default False
Whether the label should correspond with center of window
time_rule : Legacy alias for freq
Returns
-------
expanding_count : type of caller
"""
return rolling_count(arg, len(arg), freq=freq, center=center,
time_rule=time_rule)
def expanding_quantile(arg, quantile, min_periods=1, freq=None,
center=False, time_rule=None):
"""Expanding quantile
Parameters
----------
arg : Series, DataFrame
quantile : 0 <= quantile <= 1
min_periods : int
Minimum number of observations in window required to have a value
freq : None or string alias / date offset object, default=None
Frequency to conform to before computing statistic
center : boolean, default False
Whether the label should correspond with center of window
time_rule : Legacy alias for freq
Returns
-------
y : type of input argument
"""
return rolling_quantile(arg, len(arg), quantile, min_periods=min_periods,
freq=freq, center=center, time_rule=time_rule)
@Substitution("Unbiased expanding covariance", _binary_arg_flex, _flex_retval)
@Appender(_expanding_doc)
def expanding_cov(arg1, arg2, min_periods=1, freq=None, center=False,
time_rule=None):
window = max(len(arg1), len(arg2))
return rolling_cov(arg1, arg2, window,
min_periods=min_periods, freq=freq,
center=center, time_rule=time_rule)
@Substitution("Expanding sample correlation", _binary_arg_flex, _flex_retval)
@Appender(_expanding_doc)
def expanding_corr(arg1, arg2, min_periods=1, freq=None, center=False,
time_rule=None):
window = max(len(arg1), len(arg2))
return rolling_corr(arg1, arg2, window,
min_periods=min_periods,
freq=freq, center=center, time_rule=time_rule)
def expanding_corr_pairwise(df, min_periods=1):
"""
Computes pairwise expanding correlation matrices as Panel whose items are
dates
Parameters
----------
df : DataFrame
min_periods : int, default 1
Returns
-------
correls : Panel
"""
window = len(df)
return rolling_corr_pairwise(df, window, min_periods=min_periods)
def expanding_apply(arg, func, min_periods=1, freq=None, center=False,
time_rule=None):
"""Generic expanding function application
Parameters
----------
arg : Series, DataFrame
func : function
Must produce a single value from an ndarray input
min_periods : int
Minimum number of observations in window required to have a value
freq : None or string alias / date offset object, default=None
Frequency to conform to before computing statistic
center : boolean, default False
Whether the label should correspond with center of window
time_rule : Legacy alias for freq
Returns
-------
y : type of input argument
"""
window = len(arg)
return rolling_apply(arg, window, func, min_periods=min_periods, freq=freq,
center=center, time_rule=time_rule)
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