生成window对象
.rolling calls:pandas.DataFrame.rolling(),pandas.Series.rolling()
.expanding
calls:pandas.DataFrame.expanding(),pandas.Series.expanding()
.ewm calls: pandas.DataFrame.ewm(), pandas.Series.ewm()
例如数据框DataFrame的window对象生成
DataFrame.rolling(window, min_periods=None, freq=None, center=False, win_type=None, on=None, axis=0)
window:窗口的长度
min_periods=窗口移动最小的间隔,默认为1
center:是否在中间位置显示计算值,默认为Flase
win_type:
on:指定窗口移动的列,默认为索引列
axis:指定窗口移动方向
标准移动窗口函数:
Function | Describe |
---|---|
Rolling.count() | rolling count of number of non-NaN |
Rolling.sum(*args,?**kwargs) | rolling sum |
Rolling.mean(*args,?**kwargs) | rolling mean |
Rolling.median(**kwargs) | rolling median |
Rolling.var([ddof]) | rolling variance |
Rolling.std([ddof]) | rolling standard deviation |
Rolling.min(*args,?**kwargs) | rolling minimum |
Rolling.max(*args,?**kwargs) | rolling maximum |
Rolling.corr([other,?pairwise]) | rolling sample correlation |
Rolling.cov([other,?pairwise,?ddof]) | rolling sample covariance |
Rolling.skew(**kwargs) | Unbiased rolling skewness |
Rolling.kurt(**kwargs) | Unbiased rolling kurtosis |
Rolling.apply(func[,?args,?kwargs]) | rolling function apply |
Rolling.quantile(quantile,?**kwargs) | rolling quantile |
Window.mean(*args,?**kwargs) | window mean |
Window.sum(*args,?**kwargs) | window sum |
标准扩展窗口:
Function | Describe |
---|---|
Expanding.count(**kwargs) | expanding count of number of non-NaN |
Expanding.sum(*args,?**kwargs) | expanding sum |
Expanding.mean(*args,?**kwargs) | expanding mean |
Expanding.median(**kwargs) | expanding median |
Expanding.var([ddof]) | expanding variance |
Expanding.std([ddof]) | expanding standard deviation |
Expanding.min(*args,?**kwargs) | expanding minimum |
Expanding.max(*args,?**kwargs) | expanding maximum |
Expanding.corr([other,?pairwise]) | expanding sample correlation |
Expanding.cov([other,?pairwise,?ddof]) | expanding sample covariance |
Expanding.skew(**kwargs) | Unbiased expanding skewness |
Expanding.kurt(**kwargs) | Unbiased expanding kurtosis |
Expanding.apply(func[,?args,?kwargs]) | expanding function apply |
Expanding.quantile(quantile,?**kwargs) | expanding quantile |
指数权重移动窗口:
Function | Describe |
---|---|
EWM.mean(*args,?**kwargs) | exponential weighted moving average |
EWM.std([bias]) | exponential weighted moving stddev |
EWM.var([bias]) | exponential weighted moving variance |
EWM.corr([other,?pairwise]) | exponential weighted sample correlation |
EWM.cov([other,?pairwise,?bias]) | exponential weighted sample covariance |