我想计算Pandas DataFrame的列中滞后长度1的自相关系数.我的数据片段是:
RF PC C D PN DN P
year
1890 NaN NaN NaN NaN NaN NaN NaN
1891 -0.028470 -0.052632 0.042254 0.081818 -0.045541 0.047619 -0.016974
1892 -0.249084 0.000000 0.027027 0.067227 0.099404 0.045455 0.122337
1893 0.653659 0.000000 0.000000 0.039370 -0.135624 0.043478 -0.142062
沿着这一年,我想计算每列(RF,PC等)的滞后一的自相关.
为了计算自相关,我为每个列提取了两个时间序列,其开始和结束数据相差一年,然后用numpy.corrcoef计算相关系数.
例如,我写道:
numpy.corrcoef(数据[[ ‘C’]] [1:-1],数据[[ ‘C’] [2:])
(整个DataFrame称为数据).
但是,该命令遗憾地返回:
array([[ nan, nan, nan, ..., nan, nan, nan],
[ nan, nan, nan, ..., nan, nan, nan],
[ nan, nan, nan, ..., nan, nan, nan],
...,
[ nan, nan, nan, ..., nan, nan, nan],
[ nan, nan, nan, ..., nan, nan, nan],
[ nan, nan, nan, ..., nan, nan, nan]])
有人可以告诉我如何计算自相关吗?