Pandas Statistical Functions

import pandas as pd
import random
import numpy as np

n_rows=5
n_cols=2
df = pd.DataFrame(np.random.randn(n_rows, n_cols),
   index = pd.date_range('1/1/2000', periods=n_rows),
   columns = ['A','B'])

df=df.apply(lambda x:[int(xx*10) for xx in x],axis=0)

df

	A	B
2000-01-01	-18	3
2000-01-02	5	-4
2000-01-03	-2	8
2000-01-04	0	1
2000-01-05	-18	3

pct_change

## pct_change() to compute the percent change over a given number of periods 
df.pct_change(periods=1)  # b{t}=(a{t}-a{t-1})/a{t-1}

	A	B
2000-01-01	NaN	NaN
2000-01-02	-1.277778	-2.333333
2000-01-03	-1.400000	-3.000000
2000-01-04	-1.000000	-0.875000
2000-01-05	-inf	2.000000

df.pct_change(periods=2)  # b{t}=(a{t}-a{t-2})/a{t-2}

	A	B
2000-01-01	NaN	NaN
2000-01-02	NaN	NaN
2000-01-03	-0.888889	1.666667
2000-01-04	-1.000000	-1.250000
2000-01-05	8.000000	-0.625000

Covariance

df.cov()

	A	B
A	114.80	-17.85
B	-17.85	18.70

df.A.cov(df.B)

-17.849999999999998

Correlation

df.corr()

	A	B
A	1.000000	-0.385253
B	-0.385253	1.000000

Data ranking

df.rank()

	A	B
2000-01-01	1.5	3.5
2000-01-02	5.0	1.0
2000-01-03	3.0	5.0
2000-01-04	4.0	2.0
2000-01-05	1.5	3.5

df.rank(axis=1)

	A	B
2000-01-01	1.0	2.0
2000-01-02	2.0	1.0
2000-01-03	1.0	2.0
2000-01-04	1.0	2.0
2000-01-05	1.0	2.0

method parameter:
average : average rank of tied group
min : lowest rank in the group
max : highest rank in the group
first : ranks assigned in the order they appear in the array

Window Functions

cumsum

df

	A	B
2000-01-01	-18	3
2000-01-02	5	-4
2000-01-03	-2	8
2000-01-04	0	1
2000-01-05	-18	3

df.cumsum()

	A	B
2000-01-01	-18	3
2000-01-02	-13	-1
2000-01-03	-15	7
2000-01-04	-15	8
2000-01-05	-33	11

rolling

df

	A	B
2000-01-01	-18	3
2000-01-02	5	-4
2000-01-03	-2	8
2000-01-04	0	1
2000-01-05	-18	3

r=df.rolling(window=2)

r.mean()

	A	B
2000-01-01	NaN	NaN
2000-01-02	-6.5	-0.5
2000-01-03	1.5	2.0
2000-01-04	-1.0	4.5
2000-01-05	-9.0	2.0

r.count()

	A	B
2000-01-01	1.0	1.0
2000-01-02	2.0	2.0
2000-01-03	2.0	2.0
2000-01-04	2.0	2.0
2000-01-05	2.0	2.0

r.max()

	A	B
2000-01-01	NaN	NaN
2000-01-02	5.0	3.0
2000-01-03	5.0	8.0
2000-01-04	0.0	8.0
2000-01-05	0.0	3.0

Method	Description
count()	Number of non-null observations
sum()	Sum of values
mean()	Mean of values
median()	Arithmetic median of values
min()	Minimum
max()	Maximum
std()	Bessel-corrected sample standard deviation
var()	Unbiased variance
skew()	Sample skewness (3rd moment)
kurt()	Sample kurtosis (4th moment)
quantile()	Sample quantile (value at %)
apply()	Generic apply
cov()	Unbiased covariance (binary)
corr()	Correlation (binary)

win_type can specify distribution function.
parameter 'on' to specify a column (rather than the default of the index) in a DataFrame.

df

	A	B
2000-01-01	-18	3
2000-01-02	5	-4
2000-01-03	-2	8
2000-01-04	0	1
2000-01-05	-18	3

df.rolling(window='3d',min_periods=3).sum()   ## 最近三天

	A	B
2000-01-01	NaN	NaN
2000-01-02	NaN	NaN
2000-01-03	-15.0	7.0
2000-01-04	3.0	5.0
2000-01-05	-20.0	12.0

expanding

df

	A	B
2000-01-01	-18	3
2000-01-02	5	-4
2000-01-03	-2	8
2000-01-04	0	1
2000-01-05	-18	3

df.expanding().mean()  ## statistic with all data up to a point in time

	A	B
2000-01-01	-18.00	3.000000
2000-01-02	-6.50	-0.500000
2000-01-03	-5.00	2.333333
2000-01-04	-3.75	2.000000
2000-01-05	-6.60	2.200000

Exponentially Weighted Windows(ewm)

df

	A	B
2000-01-01	-18	3
2000-01-02	5	-4
2000-01-03	-2	8
2000-01-04	0	1
2000-01-05	-18	3

df.ewm(alpha=0.9).mean()

	A	B
2000-01-01	-18.000000	3.000000
2000-01-02	2.909091	-3.363636
2000-01-03	-1.513514	6.873874
2000-01-04	-0.151215	1.586859
2000-01-05	-16.215282	2.858699

转载于:https://www.cnblogs.com/sandy-t/p/10511712.html