时间序列数据分析--Time Series--时间序列数据统计—滑动窗口

滑动窗口

• 在时间窗口上计算各种统计函数
• 窗口函数
  • 滚动统计    obj.rolling().func
  • 窗口大小 window
  • 窗口是否居中统计  center
  • 

##窗口函数--cumsum()
import pandas as pd
import numpy as np

ser_obj = pd.Series(np.random.randn(1000), 
                    index=pd.date_range('20170101', periods=1000))
ser_obj = ser_obj.cumsum()
print(ser_obj.head())
answer
2017-01-01    0.956250
2017-01-02    0.279960
2017-01-03   -0.629871
2017-01-04    0.797499
2017-01-05    0.557393
Freq: D, dtype: float64

r_obj = ser_obj.rolling(window=5)
print(r_obj)
answer
Rolling [window=5,center=False,axis=0]  ####返回的是类对象，需要接统计函数才能展示

print(r_obj.mean().head())
answer：
2017-01-01         NaN
2017-01-02         NaN
2017-01-03         NaN
2017-01-04         NaN
2017-01-05    0.392246
2017-01-06    0.017798
2017-01-07   -0.175184
2017-01-08   -0.137657
2017-01-09   -0.209815
2017-01-10   -0.237701
Freq: D, dtype: float64

# 前5个数据的均值
print(ser_obj[0:5].mean())
answer
0.39224619085269624

# 1-6个数据的均值
print(ser_obj[1:6].mean())
answer：
0.017798268782202475

# 画图查看
import matplotlib.pyplot as plt
%matplotlib inline

plt.figure(figsize=(15, 5))

ser_obj.plot(style='r--')
ser_obj.rolling(window=10).mean().plot(style='b')

• 居中显示，将第5个值，从第三个开始

• print(ser_obj.rolling(window=5, center=True).mean())
  answer：
  2017-01-01          NaN
  2017-01-02          NaN
  2017-01-03     0.392246
  2017-01-04     0.017798
  2017-01-05    -0.175184
  2017-01-06    -0.137657
  2017-01-07    -0.209815
  2017-01-08    -0.237701
  2017-01-09     0.109869
  2017-01-10     0.614796
  2017-01-11     1.203267
  2017-01-12     1.782855