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Inzynierka/Lib/site-packages/pandas/core/window/rolling.py
s464967 bc721132bc first commit
2023-06-02 12:51:02 +02:00

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"""
Provide a generic structure to support window functions,
similar to how we have a Groupby object.
"""
from __future__ import annotations
import copy
from datetime import timedelta
from functools import partial
import inspect
from textwrap import dedent
from typing import (
TYPE_CHECKING,
Any,
Callable,
Hashable,
Iterator,
Sized,
cast,
)
import numpy as np
from pandas._libs.tslibs import (
BaseOffset,
to_offset,
)
import pandas._libs.window.aggregations as window_aggregations
from pandas._typing import (
ArrayLike,
Axis,
NDFrameT,
QuantileInterpolation,
WindowingRankType,
)
from pandas.compat._optional import import_optional_dependency
from pandas.errors import DataError
from pandas.util._decorators import doc
from pandas.core.dtypes.common import (
ensure_float64,
is_bool,
is_integer,
is_list_like,
is_numeric_dtype,
is_scalar,
needs_i8_conversion,
)
from pandas.core.dtypes.generic import (
ABCDataFrame,
ABCSeries,
)
from pandas.core.dtypes.missing import notna
from pandas.core._numba import executor
from pandas.core.algorithms import factorize
from pandas.core.apply import ResamplerWindowApply
from pandas.core.arrays import ExtensionArray
from pandas.core.base import SelectionMixin
import pandas.core.common as com
from pandas.core.indexers.objects import (
BaseIndexer,
FixedWindowIndexer,
GroupbyIndexer,
VariableWindowIndexer,
)
from pandas.core.indexes.api import (
DatetimeIndex,
Index,
MultiIndex,
PeriodIndex,
TimedeltaIndex,
)
from pandas.core.reshape.concat import concat
from pandas.core.util.numba_ import (
get_jit_arguments,
maybe_use_numba,
)
from pandas.core.window.common import (
flex_binary_moment,
zsqrt,
)
from pandas.core.window.doc import (
_shared_docs,
create_section_header,
kwargs_numeric_only,
kwargs_scipy,
numba_notes,
template_header,
template_returns,
template_see_also,
window_agg_numba_parameters,
window_apply_parameters,
)
from pandas.core.window.numba_ import (
generate_manual_numpy_nan_agg_with_axis,
generate_numba_apply_func,
generate_numba_table_func,
)
if TYPE_CHECKING:
from pandas import (
DataFrame,
Series,
)
from pandas.core.generic import NDFrame
from pandas.core.groupby.ops import BaseGrouper
class BaseWindow(SelectionMixin):
"""Provides utilities for performing windowing operations."""
_attributes: list[str] = []
exclusions: frozenset[Hashable] = frozenset()
_on: Index
def __init__(
self,
obj: NDFrame,
window=None,
min_periods: int | None = None,
center: bool | None = False,
win_type: str | None = None,
axis: Axis = 0,
on: str | Index | None = None,
closed: str | None = None,
step: int | None = None,
method: str = "single",
*,
selection=None,
) -> None:
self.obj = obj
self.on = on
self.closed = closed
self.step = step
self.window = window
self.min_periods = min_periods
self.center = center
self.win_type = win_type
self.axis = obj._get_axis_number(axis) if axis is not None else None
self.method = method
self._win_freq_i8: int | None = None
if self.on is None:
if self.axis == 0:
self._on = self.obj.index
else:
# i.e. self.axis == 1
self._on = self.obj.columns
elif isinstance(self.on, Index):
self._on = self.on
elif isinstance(self.obj, ABCDataFrame) and self.on in self.obj.columns:
self._on = Index(self.obj[self.on])
else:
raise ValueError(
f"invalid on specified as {self.on}, "
"must be a column (of DataFrame), an Index or None"
)
self._selection = selection
self._validate()
def _validate(self) -> None:
if self.center is not None and not is_bool(self.center):
raise ValueError("center must be a boolean")
if self.min_periods is not None:
if not is_integer(self.min_periods):
raise ValueError("min_periods must be an integer")
if self.min_periods < 0:
raise ValueError("min_periods must be >= 0")
if is_integer(self.window) and self.min_periods > self.window:
raise ValueError(
f"min_periods {self.min_periods} must be <= window {self.window}"
)
if self.closed is not None and self.closed not in [
"right",
"both",
"left",
"neither",
]:
raise ValueError("closed must be 'right', 'left', 'both' or 'neither'")
if not isinstance(self.obj, (ABCSeries, ABCDataFrame)):
raise TypeError(f"invalid type: {type(self)}")
if isinstance(self.window, BaseIndexer):
# Validate that the passed BaseIndexer subclass has
# a get_window_bounds with the correct signature.
get_window_bounds_signature = inspect.signature(
self.window.get_window_bounds
).parameters.keys()
expected_signature = inspect.signature(
BaseIndexer().get_window_bounds
).parameters.keys()
if get_window_bounds_signature != expected_signature:
raise ValueError(
f"{type(self.window).__name__} does not implement "
f"the correct signature for get_window_bounds"
)
if self.method not in ["table", "single"]:
raise ValueError("method must be 'table' or 'single")
if self.step is not None:
if not is_integer(self.step):
raise ValueError("step must be an integer")
if self.step < 0:
raise ValueError("step must be >= 0")
def _check_window_bounds(
self, start: np.ndarray, end: np.ndarray, num_vals: int
) -> None:
if len(start) != len(end):
raise ValueError(
f"start ({len(start)}) and end ({len(end)}) bounds must be the "
f"same length"
)
if len(start) != (num_vals + (self.step or 1) - 1) // (self.step or 1):
raise ValueError(
f"start and end bounds ({len(start)}) must be the same length "
f"as the object ({num_vals}) divided by the step ({self.step}) "
f"if given and rounded up"
)
def _slice_axis_for_step(self, index: Index, result: Sized | None = None) -> Index:
"""
Slices the index for a given result and the preset step.
"""
return (
index
if result is None or len(result) == len(index)
else index[:: self.step]
)
def _validate_numeric_only(self, name: str, numeric_only: bool) -> None:
"""
Validate numeric_only argument, raising if invalid for the input.
Parameters
----------
name : str
Name of the operator (kernel).
numeric_only : bool
Value passed by user.
"""
if (
self._selected_obj.ndim == 1
and numeric_only
and not is_numeric_dtype(self._selected_obj.dtype)
):
raise NotImplementedError(
f"{type(self).__name__}.{name} does not implement numeric_only"
)
def _make_numeric_only(self, obj: NDFrameT) -> NDFrameT:
"""Subset DataFrame to numeric columns.
Parameters
----------
obj : DataFrame
Returns
-------
obj subset to numeric-only columns.
"""
result = obj.select_dtypes(include=["number"], exclude=["timedelta"])
return result
def _create_data(self, obj: NDFrameT, numeric_only: bool = False) -> NDFrameT:
"""
Split data into blocks & return conformed data.
"""
# filter out the on from the object
if self.on is not None and not isinstance(self.on, Index) and obj.ndim == 2:
obj = obj.reindex(columns=obj.columns.difference([self.on]), copy=False)
if obj.ndim > 1 and (numeric_only or self.axis == 1):
# GH: 20649 in case of mixed dtype and axis=1 we have to convert everything
# to float to calculate the complete row at once. We exclude all non-numeric
# dtypes.
obj = self._make_numeric_only(obj)
if self.axis == 1:
obj = obj.astype("float64", copy=False)
obj._mgr = obj._mgr.consolidate()
return obj
def _gotitem(self, key, ndim, subset=None):
"""
Sub-classes to define. Return a sliced object.
Parameters
----------
key : str / list of selections
ndim : {1, 2}
requested ndim of result
subset : object, default None
subset to act on
"""
# create a new object to prevent aliasing
if subset is None:
subset = self.obj
# we need to make a shallow copy of ourselves
# with the same groupby
kwargs = {attr: getattr(self, attr) for attr in self._attributes}
selection = None
if subset.ndim == 2 and (
(is_scalar(key) and key in subset) or is_list_like(key)
):
selection = key
elif subset.ndim == 1 and is_scalar(key) and key == subset.name:
selection = key
new_win = type(self)(subset, selection=selection, **kwargs)
return new_win
def __getattr__(self, attr: str):
if attr in self._internal_names_set:
return object.__getattribute__(self, attr)
if attr in self.obj:
return self[attr]
raise AttributeError(
f"'{type(self).__name__}' object has no attribute '{attr}'"
)
def _dir_additions(self):
return self.obj._dir_additions()
def __repr__(self) -> str:
"""
Provide a nice str repr of our rolling object.
"""
attrs_list = (
f"{attr_name}={getattr(self, attr_name)}"
for attr_name in self._attributes
if getattr(self, attr_name, None) is not None and attr_name[0] != "_"
)
attrs = ",".join(attrs_list)
return f"{type(self).__name__} [{attrs}]"
def __iter__(self) -> Iterator:
obj = self._selected_obj.set_axis(self._on)
obj = self._create_data(obj)
indexer = self._get_window_indexer()
start, end = indexer.get_window_bounds(
num_values=len(obj),
min_periods=self.min_periods,
center=self.center,
closed=self.closed,
step=self.step,
)
self._check_window_bounds(start, end, len(obj))
for s, e in zip(start, end):
result = obj.iloc[slice(s, e)]
yield result
def _prep_values(self, values: ArrayLike) -> np.ndarray:
"""Convert input to numpy arrays for Cython routines"""
if needs_i8_conversion(values.dtype):
raise NotImplementedError(
f"ops for {type(self).__name__} for this "
f"dtype {values.dtype} are not implemented"
)
# GH #12373 : rolling functions error on float32 data
# make sure the data is coerced to float64
try:
if isinstance(values, ExtensionArray):
values = values.to_numpy(np.float64, na_value=np.nan)
else:
values = ensure_float64(values)
except (ValueError, TypeError) as err:
raise TypeError(f"cannot handle this type -> {values.dtype}") from err
# Convert inf to nan for C funcs
inf = np.isinf(values)
if inf.any():
values = np.where(inf, np.nan, values)
return values
def _insert_on_column(self, result: DataFrame, obj: DataFrame) -> None:
# if we have an 'on' column we want to put it back into
# the results in the same location
from pandas import Series
if self.on is not None and not self._on.equals(obj.index):
name = self._on.name
extra_col = Series(self._on, index=self.obj.index, name=name, copy=False)
if name in result.columns:
# TODO: sure we want to overwrite results?
result[name] = extra_col
elif name in result.index.names:
pass
elif name in self._selected_obj.columns:
# insert in the same location as we had in _selected_obj
old_cols = self._selected_obj.columns
new_cols = result.columns
old_loc = old_cols.get_loc(name)
overlap = new_cols.intersection(old_cols[:old_loc])
new_loc = len(overlap)
result.insert(new_loc, name, extra_col)
else:
# insert at the end
result[name] = extra_col
@property
def _index_array(self):
# TODO: why do we get here with e.g. MultiIndex?
if needs_i8_conversion(self._on.dtype):
idx = cast("PeriodIndex | DatetimeIndex | TimedeltaIndex", self._on)
return idx.asi8
return None
def _resolve_output(self, out: DataFrame, obj: DataFrame) -> DataFrame:
"""Validate and finalize result."""
if out.shape[1] == 0 and obj.shape[1] > 0:
raise DataError("No numeric types to aggregate")
if out.shape[1] == 0:
return obj.astype("float64")
self._insert_on_column(out, obj)
return out
def _get_window_indexer(self) -> BaseIndexer:
"""
Return an indexer class that will compute the window start and end bounds
"""
if isinstance(self.window, BaseIndexer):
return self.window
if self._win_freq_i8 is not None:
return VariableWindowIndexer(
index_array=self._index_array,
window_size=self._win_freq_i8,
center=self.center,
)
return FixedWindowIndexer(window_size=self.window)
def _apply_series(
self, homogeneous_func: Callable[..., ArrayLike], name: str | None = None
) -> Series:
"""
Series version of _apply_blockwise
"""
obj = self._create_data(self._selected_obj)
if name == "count":
# GH 12541: Special case for count where we support date-like types
obj = notna(obj).astype(int)
try:
values = self._prep_values(obj._values)
except (TypeError, NotImplementedError) as err:
raise DataError("No numeric types to aggregate") from err
result = homogeneous_func(values)
index = self._slice_axis_for_step(obj.index, result)
return obj._constructor(result, index=index, name=obj.name)
def _apply_blockwise(
self,
homogeneous_func: Callable[..., ArrayLike],
name: str,
numeric_only: bool = False,
) -> DataFrame | Series:
"""
Apply the given function to the DataFrame broken down into homogeneous
sub-frames.
"""
self._validate_numeric_only(name, numeric_only)
if self._selected_obj.ndim == 1:
return self._apply_series(homogeneous_func, name)
obj = self._create_data(self._selected_obj, numeric_only)
if name == "count":
# GH 12541: Special case for count where we support date-like types
obj = notna(obj).astype(int)
obj._mgr = obj._mgr.consolidate()
if self.axis == 1:
obj = obj.T
taker = []
res_values = []
for i, arr in enumerate(obj._iter_column_arrays()):
# GH#42736 operate column-wise instead of block-wise
# As of 2.0, hfunc will raise for nuisance columns
try:
arr = self._prep_values(arr)
except (TypeError, NotImplementedError) as err:
raise DataError(
f"Cannot aggregate non-numeric type: {arr.dtype}"
) from err
res = homogeneous_func(arr)
res_values.append(res)
taker.append(i)
index = self._slice_axis_for_step(
obj.index, res_values[0] if len(res_values) > 0 else None
)
df = type(obj)._from_arrays(
res_values,
index=index,
columns=obj.columns.take(taker),
verify_integrity=False,
)
if self.axis == 1:
df = df.T
return self._resolve_output(df, obj)
def _apply_tablewise(
self,
homogeneous_func: Callable[..., ArrayLike],
name: str | None = None,
numeric_only: bool = False,
) -> DataFrame | Series:
"""
Apply the given function to the DataFrame across the entire object
"""
if self._selected_obj.ndim == 1:
raise ValueError("method='table' not applicable for Series objects.")
obj = self._create_data(self._selected_obj, numeric_only)
values = self._prep_values(obj.to_numpy())
values = values.T if self.axis == 1 else values
result = homogeneous_func(values)
result = result.T if self.axis == 1 else result
index = self._slice_axis_for_step(obj.index, result)
columns = (
obj.columns
if result.shape[1] == len(obj.columns)
else obj.columns[:: self.step]
)
out = obj._constructor(result, index=index, columns=columns)
return self._resolve_output(out, obj)
def _apply_pairwise(
self,
target: DataFrame | Series,
other: DataFrame | Series | None,
pairwise: bool | None,
func: Callable[[DataFrame | Series, DataFrame | Series], DataFrame | Series],
numeric_only: bool,
) -> DataFrame | Series:
"""
Apply the given pairwise function given 2 pandas objects (DataFrame/Series)
"""
target = self._create_data(target, numeric_only)
if other is None:
other = target
# only default unset
pairwise = True if pairwise is None else pairwise
elif not isinstance(other, (ABCDataFrame, ABCSeries)):
raise ValueError("other must be a DataFrame or Series")
elif other.ndim == 2 and numeric_only:
other = self._make_numeric_only(other)
return flex_binary_moment(target, other, func, pairwise=bool(pairwise))
def _apply(
self,
func: Callable[..., Any],
name: str,
numeric_only: bool = False,
numba_args: tuple[Any, ...] = (),
**kwargs,
):
"""
Rolling statistical measure using supplied function.
Designed to be used with passed-in Cython array-based functions.
Parameters
----------
func : callable function to apply
name : str,
numba_args : tuple
args to be passed when func is a numba func
**kwargs
additional arguments for rolling function and window function
Returns
-------
y : type of input
"""
window_indexer = self._get_window_indexer()
min_periods = (
self.min_periods
if self.min_periods is not None
else window_indexer.window_size
)
def homogeneous_func(values: np.ndarray):
# calculation function
if values.size == 0:
return values.copy()
def calc(x):
start, end = window_indexer.get_window_bounds(
num_values=len(x),
min_periods=min_periods,
center=self.center,
closed=self.closed,
step=self.step,
)
self._check_window_bounds(start, end, len(x))
return func(x, start, end, min_periods, *numba_args)
with np.errstate(all="ignore"):
result = calc(values)
return result
if self.method == "single":
return self._apply_blockwise(homogeneous_func, name, numeric_only)
else:
return self._apply_tablewise(homogeneous_func, name, numeric_only)
def _numba_apply(
self,
func: Callable[..., Any],
engine_kwargs: dict[str, bool] | None = None,
*func_args,
):
window_indexer = self._get_window_indexer()
min_periods = (
self.min_periods
if self.min_periods is not None
else window_indexer.window_size
)
obj = self._create_data(self._selected_obj)
if self.axis == 1:
obj = obj.T
values = self._prep_values(obj.to_numpy())
if values.ndim == 1:
values = values.reshape(-1, 1)
start, end = window_indexer.get_window_bounds(
num_values=len(values),
min_periods=min_periods,
center=self.center,
closed=self.closed,
step=self.step,
)
self._check_window_bounds(start, end, len(values))
aggregator = executor.generate_shared_aggregator(
func, **get_jit_arguments(engine_kwargs)
)
result = aggregator(values, start, end, min_periods, *func_args)
result = result.T if self.axis == 1 else result
index = self._slice_axis_for_step(obj.index, result)
if obj.ndim == 1:
result = result.squeeze()
out = obj._constructor(result, index=index, name=obj.name)
return out
else:
columns = self._slice_axis_for_step(obj.columns, result.T)
out = obj._constructor(result, index=index, columns=columns)
return self._resolve_output(out, obj)
def aggregate(self, func, *args, **kwargs):
result = ResamplerWindowApply(self, func, args=args, kwargs=kwargs).agg()
if result is None:
return self.apply(func, raw=False, args=args, kwargs=kwargs)
return result
agg = aggregate
class BaseWindowGroupby(BaseWindow):
"""
Provide the groupby windowing facilities.
"""
_grouper: BaseGrouper
_as_index: bool
_attributes: list[str] = ["_grouper"]
def __init__(
self,
obj: DataFrame | Series,
*args,
_grouper: BaseGrouper,
_as_index: bool = True,
**kwargs,
) -> None:
from pandas.core.groupby.ops import BaseGrouper
if not isinstance(_grouper, BaseGrouper):
raise ValueError("Must pass a BaseGrouper object.")
self._grouper = _grouper
self._as_index = _as_index
# GH 32262: It's convention to keep the grouping column in
# groupby.<agg_func>, but unexpected to users in
# groupby.rolling.<agg_func>
obj = obj.drop(columns=self._grouper.names, errors="ignore")
# GH 15354
if kwargs.get("step") is not None:
raise NotImplementedError("step not implemented for groupby")
super().__init__(obj, *args, **kwargs)
def _apply(
self,
func: Callable[..., Any],
name: str,
numeric_only: bool = False,
numba_args: tuple[Any, ...] = (),
**kwargs,
) -> DataFrame | Series:
result = super()._apply(
func,
name,
numeric_only,
numba_args,
**kwargs,
)
# Reconstruct the resulting MultiIndex
# 1st set of levels = group by labels
# 2nd set of levels = original DataFrame/Series index
grouped_object_index = self.obj.index
grouped_index_name = [*grouped_object_index.names]
groupby_keys = copy.copy(self._grouper.names)
result_index_names = groupby_keys + grouped_index_name
drop_columns = [
key
for key in self._grouper.names
if key not in self.obj.index.names or key is None
]
if len(drop_columns) != len(groupby_keys):
# Our result will have still kept the column in the result
result = result.drop(columns=drop_columns, errors="ignore")
codes = self._grouper.codes
levels = copy.copy(self._grouper.levels)
group_indices = self._grouper.indices.values()
if group_indices:
indexer = np.concatenate(list(group_indices))
else:
indexer = np.array([], dtype=np.intp)
codes = [c.take(indexer) for c in codes]
# if the index of the original dataframe needs to be preserved, append
# this index (but reordered) to the codes/levels from the groupby
if grouped_object_index is not None:
idx = grouped_object_index.take(indexer)
if not isinstance(idx, MultiIndex):
idx = MultiIndex.from_arrays([idx])
codes.extend(list(idx.codes))
levels.extend(list(idx.levels))
result_index = MultiIndex(
levels, codes, names=result_index_names, verify_integrity=False
)
result.index = result_index
if not self._as_index:
result = result.reset_index(level=list(range(len(groupby_keys))))
return result
def _apply_pairwise(
self,
target: DataFrame | Series,
other: DataFrame | Series | None,
pairwise: bool | None,
func: Callable[[DataFrame | Series, DataFrame | Series], DataFrame | Series],
numeric_only: bool,
) -> DataFrame | Series:
"""
Apply the given pairwise function given 2 pandas objects (DataFrame/Series)
"""
# Manually drop the grouping column first
target = target.drop(columns=self._grouper.names, errors="ignore")
result = super()._apply_pairwise(target, other, pairwise, func, numeric_only)
# 1) Determine the levels + codes of the groupby levels
if other is not None and not all(
len(group) == len(other) for group in self._grouper.indices.values()
):
# GH 42915
# len(other) != len(any group), so must reindex (expand) the result
# from flex_binary_moment to a "transform"-like result
# per groupby combination
old_result_len = len(result)
result = concat(
[
result.take(gb_indices).reindex(result.index)
for gb_indices in self._grouper.indices.values()
]
)
gb_pairs = (
com.maybe_make_list(pair) for pair in self._grouper.indices.keys()
)
groupby_codes = []
groupby_levels = []
# e.g. [[1, 2], [4, 5]] as [[1, 4], [2, 5]]
for gb_level_pair in map(list, zip(*gb_pairs)):
labels = np.repeat(np.array(gb_level_pair), old_result_len)
codes, levels = factorize(labels)
groupby_codes.append(codes)
groupby_levels.append(levels)
else:
# pairwise=True or len(other) == len(each group), so repeat
# the groupby labels by the number of columns in the original object
groupby_codes = self._grouper.codes
# error: Incompatible types in assignment (expression has type
# "List[Index]", variable has type "List[Union[ndarray, Index]]")
groupby_levels = self._grouper.levels # type: ignore[assignment]
group_indices = self._grouper.indices.values()
if group_indices:
indexer = np.concatenate(list(group_indices))
else:
indexer = np.array([], dtype=np.intp)
if target.ndim == 1:
repeat_by = 1
else:
repeat_by = len(target.columns)
groupby_codes = [
np.repeat(c.take(indexer), repeat_by) for c in groupby_codes
]
# 2) Determine the levels + codes of the result from super()._apply_pairwise
if isinstance(result.index, MultiIndex):
result_codes = list(result.index.codes)
result_levels = list(result.index.levels)
result_names = list(result.index.names)
else:
idx_codes, idx_levels = factorize(result.index)
result_codes = [idx_codes]
result_levels = [idx_levels]
result_names = [result.index.name]
# 3) Create the resulting index by combining 1) + 2)
result_codes = groupby_codes + result_codes
result_levels = groupby_levels + result_levels
result_names = self._grouper.names + result_names
result_index = MultiIndex(
result_levels, result_codes, names=result_names, verify_integrity=False
)
result.index = result_index
return result
def _create_data(self, obj: NDFrameT, numeric_only: bool = False) -> NDFrameT:
"""
Split data into blocks & return conformed data.
"""
# Ensure the object we're rolling over is monotonically sorted relative
# to the groups
# GH 36197
if not obj.empty:
groupby_order = np.concatenate(list(self._grouper.indices.values())).astype(
np.int64
)
obj = obj.take(groupby_order)
return super()._create_data(obj, numeric_only)
def _gotitem(self, key, ndim, subset=None):
# we are setting the index on the actual object
# here so our index is carried through to the selected obj
# when we do the splitting for the groupby
if self.on is not None:
# GH 43355
subset = self.obj.set_index(self._on)
return super()._gotitem(key, ndim, subset=subset)
class Window(BaseWindow):
"""
Provide rolling window calculations.
Parameters
----------
window : int, timedelta, str, offset, or BaseIndexer subclass
Size of the moving window.
If an integer, the fixed number of observations used for
each window.
If a timedelta, str, or offset, the time period of each window. Each
window will be a variable sized based on the observations included in
the time-period. This is only valid for datetimelike indexes.
To learn more about the offsets & frequency strings, please see `this link
<https://pandas.pydata.org/pandas-docs/stable/user_guide/timeseries.html#offset-aliases>`__.
If a BaseIndexer subclass, the window boundaries
based on the defined ``get_window_bounds`` method. Additional rolling
keyword arguments, namely ``min_periods``, ``center``, ``closed`` and
``step`` will be passed to ``get_window_bounds``.
min_periods : int, default None
Minimum number of observations in window required to have a value;
otherwise, result is ``np.nan``.
For a window that is specified by an offset, ``min_periods`` will default to 1.
For a window that is specified by an integer, ``min_periods`` will default
to the size of the window.
center : bool, default False
If False, set the window labels as the right edge of the window index.
If True, set the window labels as the center of the window index.
win_type : str, default None
If ``None``, all points are evenly weighted.
If a string, it must be a valid `scipy.signal window function
<https://docs.scipy.org/doc/scipy/reference/signal.windows.html#module-scipy.signal.windows>`__.
Certain Scipy window types require additional parameters to be passed
in the aggregation function. The additional parameters must match
the keywords specified in the Scipy window type method signature.
on : str, optional
For a DataFrame, a column label or Index level on which
to calculate the rolling window, rather than the DataFrame's index.
Provided integer column is ignored and excluded from result since
an integer index is not used to calculate the rolling window.
axis : int or str, default 0
If ``0`` or ``'index'``, roll across the rows.
If ``1`` or ``'columns'``, roll across the columns.
For `Series` this parameter is unused and defaults to 0.
closed : str, default None
If ``'right'``, the first point in the window is excluded from calculations.
If ``'left'``, the last point in the window is excluded from calculations.
If ``'both'``, the no points in the window are excluded from calculations.
If ``'neither'``, the first and last points in the window are excluded
from calculations.
Default ``None`` (``'right'``).
.. versionchanged:: 1.2.0
The closed parameter with fixed windows is now supported.
step : int, default None
.. versionadded:: 1.5.0
Evaluate the window at every ``step`` result, equivalent to slicing as
``[::step]``. ``window`` must be an integer. Using a step argument other
than None or 1 will produce a result with a different shape than the input.
method : str {'single', 'table'}, default 'single'
.. versionadded:: 1.3.0
Execute the rolling operation per single column or row (``'single'``)
or over the entire object (``'table'``).
This argument is only implemented when specifying ``engine='numba'``
in the method call.
Returns
-------
``Window`` subclass if a ``win_type`` is passed
``Rolling`` subclass if ``win_type`` is not passed
See Also
--------
expanding : Provides expanding transformations.
ewm : Provides exponential weighted functions.
Notes
-----
See :ref:`Windowing Operations <window.generic>` for further usage details
and examples.
Examples
--------
>>> df = pd.DataFrame({'B': [0, 1, 2, np.nan, 4]})
>>> df
B
0 0.0
1 1.0
2 2.0
3 NaN
4 4.0
**window**
Rolling sum with a window length of 2 observations.
>>> df.rolling(2).sum()
B
0 NaN
1 1.0
2 3.0
3 NaN
4 NaN
Rolling sum with a window span of 2 seconds.
>>> df_time = pd.DataFrame({'B': [0, 1, 2, np.nan, 4]},
... index = [pd.Timestamp('20130101 09:00:00'),
... pd.Timestamp('20130101 09:00:02'),
... pd.Timestamp('20130101 09:00:03'),
... pd.Timestamp('20130101 09:00:05'),
... pd.Timestamp('20130101 09:00:06')])
>>> df_time
B
2013-01-01 09:00:00 0.0
2013-01-01 09:00:02 1.0
2013-01-01 09:00:03 2.0
2013-01-01 09:00:05 NaN
2013-01-01 09:00:06 4.0
>>> df_time.rolling('2s').sum()
B
2013-01-01 09:00:00 0.0
2013-01-01 09:00:02 1.0
2013-01-01 09:00:03 3.0
2013-01-01 09:00:05 NaN
2013-01-01 09:00:06 4.0
Rolling sum with forward looking windows with 2 observations.
>>> indexer = pd.api.indexers.FixedForwardWindowIndexer(window_size=2)
>>> df.rolling(window=indexer, min_periods=1).sum()
B
0 1.0
1 3.0
2 2.0
3 4.0
4 4.0
**min_periods**
Rolling sum with a window length of 2 observations, but only needs a minimum of 1
observation to calculate a value.
>>> df.rolling(2, min_periods=1).sum()
B
0 0.0
1 1.0
2 3.0
3 2.0
4 4.0
**center**
Rolling sum with the result assigned to the center of the window index.
>>> df.rolling(3, min_periods=1, center=True).sum()
B
0 1.0
1 3.0
2 3.0
3 6.0
4 4.0
>>> df.rolling(3, min_periods=1, center=False).sum()
B
0 0.0
1 1.0
2 3.0
3 3.0
4 6.0
**step**
Rolling sum with a window length of 2 observations, minimum of 1 observation to
calculate a value, and a step of 2.
>>> df.rolling(2, min_periods=1, step=2).sum()
B
0 0.0
2 3.0
4 4.0
**win_type**
Rolling sum with a window length of 2, using the Scipy ``'gaussian'``
window type. ``std`` is required in the aggregation function.
>>> df.rolling(2, win_type='gaussian').sum(std=3)
B
0 NaN
1 0.986207
2 2.958621
3 NaN
4 NaN
**on**
Rolling sum with a window length of 2 days.
>>> df = pd.DataFrame({
... 'A': [pd.to_datetime('2020-01-01'),
... pd.to_datetime('2020-01-01'),
... pd.to_datetime('2020-01-02'),],
... 'B': [1, 2, 3], },
... index=pd.date_range('2020', periods=3))
>>> df
A B
2020-01-01 2020-01-01 1
2020-01-02 2020-01-01 2
2020-01-03 2020-01-02 3
>>> df.rolling('2D', on='A').sum()
A B
2020-01-01 2020-01-01 1.0
2020-01-02 2020-01-01 3.0
2020-01-03 2020-01-02 6.0
"""
_attributes = [
"window",
"min_periods",
"center",
"win_type",
"axis",
"on",
"closed",
"step",
"method",
]
def _validate(self):
super()._validate()
if not isinstance(self.win_type, str):
raise ValueError(f"Invalid win_type {self.win_type}")
signal = import_optional_dependency(
"scipy.signal", extra="Scipy is required to generate window weight."
)
self._scipy_weight_generator = getattr(signal, self.win_type, None)
if self._scipy_weight_generator is None:
raise ValueError(f"Invalid win_type {self.win_type}")
if isinstance(self.window, BaseIndexer):
raise NotImplementedError(
"BaseIndexer subclasses not implemented with win_types."
)
if not is_integer(self.window) or self.window < 0:
raise ValueError("window must be an integer 0 or greater")
if self.method != "single":
raise NotImplementedError("'single' is the only supported method type.")
def _center_window(self, result: np.ndarray, offset: int) -> np.ndarray:
"""
Center the result in the window for weighted rolling aggregations.
"""
if offset > 0:
lead_indexer = [slice(offset, None)]
result = np.copy(result[tuple(lead_indexer)])
return result
def _apply(
self,
func: Callable[[np.ndarray, int, int], np.ndarray],
name: str,
numeric_only: bool = False,
numba_args: tuple[Any, ...] = (),
**kwargs,
):
"""
Rolling with weights statistical measure using supplied function.
Designed to be used with passed-in Cython array-based functions.
Parameters
----------
func : callable function to apply
name : str,
numeric_only : bool, default False
Whether to only operate on bool, int, and float columns
numba_args : tuple
unused
**kwargs
additional arguments for scipy windows if necessary
Returns
-------
y : type of input
"""
# "None" not callable [misc]
window = self._scipy_weight_generator( # type: ignore[misc]
self.window, **kwargs
)
offset = (len(window) - 1) // 2 if self.center else 0
def homogeneous_func(values: np.ndarray):
# calculation function
if values.size == 0:
return values.copy()
def calc(x):
additional_nans = np.array([np.nan] * offset)
x = np.concatenate((x, additional_nans))
return func(x, window, self.min_periods or len(window))
with np.errstate(all="ignore"):
# Our weighted aggregations return memoryviews
result = np.asarray(calc(values))
if self.center:
result = self._center_window(result, offset)
return result
return self._apply_blockwise(homogeneous_func, name, numeric_only)[:: self.step]
@doc(
_shared_docs["aggregate"],
see_also=dedent(
"""
See Also
--------
pandas.DataFrame.aggregate : Similar DataFrame method.
pandas.Series.aggregate : Similar Series method.
"""
),
examples=dedent(
"""
Examples
--------
>>> df = pd.DataFrame({"A": [1, 2, 3], "B": [4, 5, 6], "C": [7, 8, 9]})
>>> df
A B C
0 1 4 7
1 2 5 8
2 3 6 9
>>> df.rolling(2, win_type="boxcar").agg("mean")
A B C
0 NaN NaN NaN
1 1.5 4.5 7.5
2 2.5 5.5 8.5
"""
),
klass="Series/DataFrame",
axis="",
)
def aggregate(self, func, *args, **kwargs):
result = ResamplerWindowApply(self, func, args=args, kwargs=kwargs).agg()
if result is None:
# these must apply directly
result = func(self)
return result
agg = aggregate
@doc(
template_header,
create_section_header("Parameters"),
kwargs_numeric_only,
kwargs_scipy,
create_section_header("Returns"),
template_returns,
create_section_header("See Also"),
template_see_also[:-1],
window_method="rolling",
aggregation_description="weighted window sum",
agg_method="sum",
)
def sum(self, numeric_only: bool = False, **kwargs):
window_func = window_aggregations.roll_weighted_sum
# error: Argument 1 to "_apply" of "Window" has incompatible type
# "Callable[[ndarray, ndarray, int], ndarray]"; expected
# "Callable[[ndarray, int, int], ndarray]"
return self._apply(
window_func, # type: ignore[arg-type]
name="sum",
numeric_only=numeric_only,
**kwargs,
)
@doc(
template_header,
create_section_header("Parameters"),
kwargs_numeric_only,
kwargs_scipy,
create_section_header("Returns"),
template_returns,
create_section_header("See Also"),
template_see_also[:-1],
window_method="rolling",
aggregation_description="weighted window mean",
agg_method="mean",
)
def mean(self, numeric_only: bool = False, **kwargs):
window_func = window_aggregations.roll_weighted_mean
# error: Argument 1 to "_apply" of "Window" has incompatible type
# "Callable[[ndarray, ndarray, int], ndarray]"; expected
# "Callable[[ndarray, int, int], ndarray]"
return self._apply(
window_func, # type: ignore[arg-type]
name="mean",
numeric_only=numeric_only,
**kwargs,
)
@doc(
template_header,
create_section_header("Parameters"),
kwargs_numeric_only,
kwargs_scipy,
create_section_header("Returns"),
template_returns,
create_section_header("See Also"),
template_see_also[:-1],
window_method="rolling",
aggregation_description="weighted window variance",
agg_method="var",
)
def var(self, ddof: int = 1, numeric_only: bool = False, **kwargs):
window_func = partial(window_aggregations.roll_weighted_var, ddof=ddof)
kwargs.pop("name", None)
return self._apply(window_func, name="var", numeric_only=numeric_only, **kwargs)
@doc(
template_header,
create_section_header("Parameters"),
kwargs_numeric_only,
kwargs_scipy,
create_section_header("Returns"),
template_returns,
create_section_header("See Also"),
template_see_also[:-1],
window_method="rolling",
aggregation_description="weighted window standard deviation",
agg_method="std",
)
def std(self, ddof: int = 1, numeric_only: bool = False, **kwargs):
return zsqrt(
self.var(ddof=ddof, name="std", numeric_only=numeric_only, **kwargs)
)
class RollingAndExpandingMixin(BaseWindow):
def count(self, numeric_only: bool = False):
window_func = window_aggregations.roll_sum
return self._apply(window_func, name="count", numeric_only=numeric_only)
def apply(
self,
func: Callable[..., Any],
raw: bool = False,
engine: str | None = None,
engine_kwargs: dict[str, bool] | None = None,
args: tuple[Any, ...] | None = None,
kwargs: dict[str, Any] | None = None,
):
if args is None:
args = ()
if kwargs is None:
kwargs = {}
if not is_bool(raw):
raise ValueError("raw parameter must be `True` or `False`")
numba_args: tuple[Any, ...] = ()
if maybe_use_numba(engine):
if raw is False:
raise ValueError("raw must be `True` when using the numba engine")
numba_args = args
if self.method == "single":
apply_func = generate_numba_apply_func(
func, **get_jit_arguments(engine_kwargs, kwargs)
)
else:
apply_func = generate_numba_table_func(
func, **get_jit_arguments(engine_kwargs, kwargs)
)
elif engine in ("cython", None):
if engine_kwargs is not None:
raise ValueError("cython engine does not accept engine_kwargs")
apply_func = self._generate_cython_apply_func(args, kwargs, raw, func)
else:
raise ValueError("engine must be either 'numba' or 'cython'")
return self._apply(
apply_func,
name="apply",
numba_args=numba_args,
)
def _generate_cython_apply_func(
self,
args: tuple[Any, ...],
kwargs: dict[str, Any],
raw: bool,
function: Callable[..., Any],
) -> Callable[[np.ndarray, np.ndarray, np.ndarray, int], np.ndarray]:
from pandas import Series
window_func = partial(
window_aggregations.roll_apply,
args=args,
kwargs=kwargs,
raw=raw,
function=function,
)
def apply_func(values, begin, end, min_periods, raw=raw):
if not raw:
# GH 45912
values = Series(values, index=self._on, copy=False)
return window_func(values, begin, end, min_periods)
return apply_func
def sum(
self,
numeric_only: bool = False,
engine: str | None = None,
engine_kwargs: dict[str, bool] | None = None,
):
if maybe_use_numba(engine):
if self.method == "table":
func = generate_manual_numpy_nan_agg_with_axis(np.nansum)
return self.apply(
func,
raw=True,
engine=engine,
engine_kwargs=engine_kwargs,
)
else:
from pandas.core._numba.kernels import sliding_sum
return self._numba_apply(sliding_sum, engine_kwargs)
window_func = window_aggregations.roll_sum
return self._apply(window_func, name="sum", numeric_only=numeric_only)
def max(
self,
numeric_only: bool = False,
engine: str | None = None,
engine_kwargs: dict[str, bool] | None = None,
):
if maybe_use_numba(engine):
if self.method == "table":
func = generate_manual_numpy_nan_agg_with_axis(np.nanmax)
return self.apply(
func,
raw=True,
engine=engine,
engine_kwargs=engine_kwargs,
)
else:
from pandas.core._numba.kernels import sliding_min_max
return self._numba_apply(sliding_min_max, engine_kwargs, True)
window_func = window_aggregations.roll_max
return self._apply(window_func, name="max", numeric_only=numeric_only)
def min(
self,
numeric_only: bool = False,
engine: str | None = None,
engine_kwargs: dict[str, bool] | None = None,
):
if maybe_use_numba(engine):
if self.method == "table":
func = generate_manual_numpy_nan_agg_with_axis(np.nanmin)
return self.apply(
func,
raw=True,
engine=engine,
engine_kwargs=engine_kwargs,
)
else:
from pandas.core._numba.kernels import sliding_min_max
return self._numba_apply(sliding_min_max, engine_kwargs, False)
window_func = window_aggregations.roll_min
return self._apply(window_func, name="min", numeric_only=numeric_only)
def mean(
self,
numeric_only: bool = False,
engine: str | None = None,
engine_kwargs: dict[str, bool] | None = None,
):
if maybe_use_numba(engine):
if self.method == "table":
func = generate_manual_numpy_nan_agg_with_axis(np.nanmean)
return self.apply(
func,
raw=True,
engine=engine,
engine_kwargs=engine_kwargs,
)
else:
from pandas.core._numba.kernels import sliding_mean
return self._numba_apply(sliding_mean, engine_kwargs)
window_func = window_aggregations.roll_mean
return self._apply(window_func, name="mean", numeric_only=numeric_only)
def median(
self,
numeric_only: bool = False,
engine: str | None = None,
engine_kwargs: dict[str, bool] | None = None,
):
if maybe_use_numba(engine):
if self.method == "table":
func = generate_manual_numpy_nan_agg_with_axis(np.nanmedian)
else:
func = np.nanmedian
return self.apply(
func,
raw=True,
engine=engine,
engine_kwargs=engine_kwargs,
)
window_func = window_aggregations.roll_median_c
return self._apply(window_func, name="median", numeric_only=numeric_only)
def std(
self,
ddof: int = 1,
numeric_only: bool = False,
engine: str | None = None,
engine_kwargs: dict[str, bool] | None = None,
):
if maybe_use_numba(engine):
if self.method == "table":
raise NotImplementedError("std not supported with method='table'")
from pandas.core._numba.kernels import sliding_var
return zsqrt(self._numba_apply(sliding_var, engine_kwargs, ddof))
window_func = window_aggregations.roll_var
def zsqrt_func(values, begin, end, min_periods):
return zsqrt(window_func(values, begin, end, min_periods, ddof=ddof))
return self._apply(
zsqrt_func,
name="std",
numeric_only=numeric_only,
)
def var(
self,
ddof: int = 1,
numeric_only: bool = False,
engine: str | None = None,
engine_kwargs: dict[str, bool] | None = None,
):
if maybe_use_numba(engine):
if self.method == "table":
raise NotImplementedError("var not supported with method='table'")
from pandas.core._numba.kernels import sliding_var
return self._numba_apply(sliding_var, engine_kwargs, ddof)
window_func = partial(window_aggregations.roll_var, ddof=ddof)
return self._apply(
window_func,
name="var",
numeric_only=numeric_only,
)
def skew(self, numeric_only: bool = False):
window_func = window_aggregations.roll_skew
return self._apply(
window_func,
name="skew",
numeric_only=numeric_only,
)
def sem(self, ddof: int = 1, numeric_only: bool = False):
# Raise here so error message says sem instead of std
self._validate_numeric_only("sem", numeric_only)
return self.std(numeric_only=numeric_only) / (
self.count(numeric_only=numeric_only) - ddof
).pow(0.5)
def kurt(self, numeric_only: bool = False):
window_func = window_aggregations.roll_kurt
return self._apply(
window_func,
name="kurt",
numeric_only=numeric_only,
)
def quantile(
self,
quantile: float,
interpolation: QuantileInterpolation = "linear",
numeric_only: bool = False,
):
if quantile == 1.0:
window_func = window_aggregations.roll_max
elif quantile == 0.0:
window_func = window_aggregations.roll_min
else:
window_func = partial(
window_aggregations.roll_quantile,
quantile=quantile,
interpolation=interpolation,
)
return self._apply(window_func, name="quantile", numeric_only=numeric_only)
def rank(
self,
method: WindowingRankType = "average",
ascending: bool = True,
pct: bool = False,
numeric_only: bool = False,
):
window_func = partial(
window_aggregations.roll_rank,
method=method,
ascending=ascending,
percentile=pct,
)
return self._apply(window_func, name="rank", numeric_only=numeric_only)
def cov(
self,
other: DataFrame | Series | None = None,
pairwise: bool | None = None,
ddof: int = 1,
numeric_only: bool = False,
):
if self.step is not None:
raise NotImplementedError("step not implemented for cov")
self._validate_numeric_only("cov", numeric_only)
from pandas import Series
def cov_func(x, y):
x_array = self._prep_values(x)
y_array = self._prep_values(y)
window_indexer = self._get_window_indexer()
min_periods = (
self.min_periods
if self.min_periods is not None
else window_indexer.window_size
)
start, end = window_indexer.get_window_bounds(
num_values=len(x_array),
min_periods=min_periods,
center=self.center,
closed=self.closed,
step=self.step,
)
self._check_window_bounds(start, end, len(x_array))
with np.errstate(all="ignore"):
mean_x_y = window_aggregations.roll_mean(
x_array * y_array, start, end, min_periods
)
mean_x = window_aggregations.roll_mean(x_array, start, end, min_periods)
mean_y = window_aggregations.roll_mean(y_array, start, end, min_periods)
count_x_y = window_aggregations.roll_sum(
notna(x_array + y_array).astype(np.float64), start, end, 0
)
result = (mean_x_y - mean_x * mean_y) * (count_x_y / (count_x_y - ddof))
return Series(result, index=x.index, name=x.name, copy=False)
return self._apply_pairwise(
self._selected_obj, other, pairwise, cov_func, numeric_only
)
def corr(
self,
other: DataFrame | Series | None = None,
pairwise: bool | None = None,
ddof: int = 1,
numeric_only: bool = False,
):
if self.step is not None:
raise NotImplementedError("step not implemented for corr")
self._validate_numeric_only("corr", numeric_only)
from pandas import Series
def corr_func(x, y):
x_array = self._prep_values(x)
y_array = self._prep_values(y)
window_indexer = self._get_window_indexer()
min_periods = (
self.min_periods
if self.min_periods is not None
else window_indexer.window_size
)
start, end = window_indexer.get_window_bounds(
num_values=len(x_array),
min_periods=min_periods,
center=self.center,
closed=self.closed,
step=self.step,
)
self._check_window_bounds(start, end, len(x_array))
with np.errstate(all="ignore"):
mean_x_y = window_aggregations.roll_mean(
x_array * y_array, start, end, min_periods
)
mean_x = window_aggregations.roll_mean(x_array, start, end, min_periods)
mean_y = window_aggregations.roll_mean(y_array, start, end, min_periods)
count_x_y = window_aggregations.roll_sum(
notna(x_array + y_array).astype(np.float64), start, end, 0
)
x_var = window_aggregations.roll_var(
x_array, start, end, min_periods, ddof
)
y_var = window_aggregations.roll_var(
y_array, start, end, min_periods, ddof
)
numerator = (mean_x_y - mean_x * mean_y) * (
count_x_y / (count_x_y - ddof)
)
denominator = (x_var * y_var) ** 0.5
result = numerator / denominator
return Series(result, index=x.index, name=x.name, copy=False)
return self._apply_pairwise(
self._selected_obj, other, pairwise, corr_func, numeric_only
)
class Rolling(RollingAndExpandingMixin):
_attributes: list[str] = [
"window",
"min_periods",
"center",
"win_type",
"axis",
"on",
"closed",
"step",
"method",
]
def _validate(self):
super()._validate()
# we allow rolling on a datetimelike index
if (
self.obj.empty
or isinstance(self._on, (DatetimeIndex, TimedeltaIndex, PeriodIndex))
) and isinstance(self.window, (str, BaseOffset, timedelta)):
self._validate_datetimelike_monotonic()
# this will raise ValueError on non-fixed freqs
try:
freq = to_offset(self.window)
except (TypeError, ValueError) as err:
raise ValueError(
f"passed window {self.window} is not "
"compatible with a datetimelike index"
) from err
if isinstance(self._on, PeriodIndex):
# error: Incompatible types in assignment (expression has type
# "float", variable has type "Optional[int]")
self._win_freq_i8 = freq.nanos / ( # type: ignore[assignment]
self._on.freq.nanos / self._on.freq.n
)
else:
self._win_freq_i8 = freq.nanos
# min_periods must be an integer
if self.min_periods is None:
self.min_periods = 1
if self.step is not None:
raise NotImplementedError(
"step is not supported with frequency windows"
)
elif isinstance(self.window, BaseIndexer):
# Passed BaseIndexer subclass should handle all other rolling kwargs
pass
elif not is_integer(self.window) or self.window < 0:
raise ValueError("window must be an integer 0 or greater")
def _validate_datetimelike_monotonic(self) -> None:
"""
Validate self._on is monotonic (increasing or decreasing) and has
no NaT values for frequency windows.
"""
if self._on.hasnans:
self._raise_monotonic_error("values must not have NaT")
if not (self._on.is_monotonic_increasing or self._on.is_monotonic_decreasing):
self._raise_monotonic_error("values must be monotonic")
def _raise_monotonic_error(self, msg: str):
on = self.on
if on is None:
if self.axis == 0:
on = "index"
else:
on = "column"
raise ValueError(f"{on} {msg}")
@doc(
_shared_docs["aggregate"],
see_also=dedent(
"""
See Also
--------
pandas.Series.rolling : Calling object with Series data.
pandas.DataFrame.rolling : Calling object with DataFrame data.
"""
),
examples=dedent(
"""
Examples
--------
>>> df = pd.DataFrame({"A": [1, 2, 3], "B": [4, 5, 6], "C": [7, 8, 9]})
>>> df
A B C
0 1 4 7
1 2 5 8
2 3 6 9
>>> df.rolling(2).sum()
A B C
0 NaN NaN NaN
1 3.0 9.0 15.0
2 5.0 11.0 17.0
>>> df.rolling(2).agg({"A": "sum", "B": "min"})
A B
0 NaN NaN
1 3.0 4.0
2 5.0 5.0
"""
),
klass="Series/Dataframe",
axis="",
)
def aggregate(self, func, *args, **kwargs):
return super().aggregate(func, *args, **kwargs)
agg = aggregate
@doc(
template_header,
create_section_header("Parameters"),
kwargs_numeric_only,
create_section_header("Returns"),
template_returns,
create_section_header("See Also"),
template_see_also,
create_section_header("Examples"),
dedent(
"""
>>> s = pd.Series([2, 3, np.nan, 10])
>>> s.rolling(2).count()
0 NaN
1 2.0
2 1.0
3 1.0
dtype: float64
>>> s.rolling(3).count()
0 NaN
1 NaN
2 2.0
3 2.0
dtype: float64
>>> s.rolling(4).count()
0 NaN
1 NaN
2 NaN
3 3.0
dtype: float64
"""
).replace("\n", "", 1),
window_method="rolling",
aggregation_description="count of non NaN observations",
agg_method="count",
)
def count(self, numeric_only: bool = False):
return super().count(numeric_only)
@doc(
template_header,
create_section_header("Parameters"),
window_apply_parameters,
create_section_header("Returns"),
template_returns,
create_section_header("See Also"),
template_see_also[:-1],
window_method="rolling",
aggregation_description="custom aggregation function",
agg_method="apply",
)
def apply(
self,
func: Callable[..., Any],
raw: bool = False,
engine: str | None = None,
engine_kwargs: dict[str, bool] | None = None,
args: tuple[Any, ...] | None = None,
kwargs: dict[str, Any] | None = None,
):
return super().apply(
func,
raw=raw,
engine=engine,
engine_kwargs=engine_kwargs,
args=args,
kwargs=kwargs,
)
@doc(
template_header,
create_section_header("Parameters"),
kwargs_numeric_only,
window_agg_numba_parameters(),
create_section_header("Returns"),
template_returns,
create_section_header("See Also"),
template_see_also,
create_section_header("Notes"),
numba_notes,
create_section_header("Examples"),
dedent(
"""
>>> s = pd.Series([1, 2, 3, 4, 5])
>>> s
0 1
1 2
2 3
3 4
4 5
dtype: int64
>>> s.rolling(3).sum()
0 NaN
1 NaN
2 6.0
3 9.0
4 12.0
dtype: float64
>>> s.rolling(3, center=True).sum()
0 NaN
1 6.0
2 9.0
3 12.0
4 NaN
dtype: float64
For DataFrame, each sum is computed column-wise.
>>> df = pd.DataFrame({{"A": s, "B": s ** 2}})
>>> df
A B
0 1 1
1 2 4
2 3 9
3 4 16
4 5 25
>>> df.rolling(3).sum()
A B
0 NaN NaN
1 NaN NaN
2 6.0 14.0
3 9.0 29.0
4 12.0 50.0
"""
).replace("\n", "", 1),
window_method="rolling",
aggregation_description="sum",
agg_method="sum",
)
def sum(
self,
numeric_only: bool = False,
engine: str | None = None,
engine_kwargs: dict[str, bool] | None = None,
):
return super().sum(
numeric_only=numeric_only,
engine=engine,
engine_kwargs=engine_kwargs,
)
@doc(
template_header,
create_section_header("Parameters"),
kwargs_numeric_only,
window_agg_numba_parameters(),
create_section_header("Returns"),
template_returns,
create_section_header("See Also"),
template_see_also,
create_section_header("Notes"),
numba_notes[:-1],
window_method="rolling",
aggregation_description="maximum",
agg_method="max",
)
def max(
self,
numeric_only: bool = False,
*args,
engine: str | None = None,
engine_kwargs: dict[str, bool] | None = None,
**kwargs,
):
return super().max(
numeric_only=numeric_only,
engine=engine,
engine_kwargs=engine_kwargs,
)
@doc(
template_header,
create_section_header("Parameters"),
kwargs_numeric_only,
window_agg_numba_parameters(),
create_section_header("Returns"),
template_returns,
create_section_header("See Also"),
template_see_also,
create_section_header("Notes"),
numba_notes,
create_section_header("Examples"),
dedent(
"""
Performing a rolling minimum with a window size of 3.
>>> s = pd.Series([4, 3, 5, 2, 6])
>>> s.rolling(3).min()
0 NaN
1 NaN
2 3.0
3 2.0
4 2.0
dtype: float64
"""
).replace("\n", "", 1),
window_method="rolling",
aggregation_description="minimum",
agg_method="min",
)
def min(
self,
numeric_only: bool = False,
engine: str | None = None,
engine_kwargs: dict[str, bool] | None = None,
):
return super().min(
numeric_only=numeric_only,
engine=engine,
engine_kwargs=engine_kwargs,
)
@doc(
template_header,
create_section_header("Parameters"),
kwargs_numeric_only,
window_agg_numba_parameters(),
create_section_header("Returns"),
template_returns,
create_section_header("See Also"),
template_see_also,
create_section_header("Notes"),
numba_notes,
create_section_header("Examples"),
dedent(
"""
The below examples will show rolling mean calculations with window sizes of
two and three, respectively.
>>> s = pd.Series([1, 2, 3, 4])
>>> s.rolling(2).mean()
0 NaN
1 1.5
2 2.5
3 3.5
dtype: float64
>>> s.rolling(3).mean()
0 NaN
1 NaN
2 2.0
3 3.0
dtype: float64
"""
).replace("\n", "", 1),
window_method="rolling",
aggregation_description="mean",
agg_method="mean",
)
def mean(
self,
numeric_only: bool = False,
engine: str | None = None,
engine_kwargs: dict[str, bool] | None = None,
):
return super().mean(
numeric_only=numeric_only,
engine=engine,
engine_kwargs=engine_kwargs,
)
@doc(
template_header,
create_section_header("Parameters"),
kwargs_numeric_only,
window_agg_numba_parameters(),
create_section_header("Returns"),
template_returns,
create_section_header("See Also"),
template_see_also,
create_section_header("Notes"),
numba_notes,
create_section_header("Examples"),
dedent(
"""
Compute the rolling median of a series with a window size of 3.
>>> s = pd.Series([0, 1, 2, 3, 4])
>>> s.rolling(3).median()
0 NaN
1 NaN
2 1.0
3 2.0
4 3.0
dtype: float64
"""
).replace("\n", "", 1),
window_method="rolling",
aggregation_description="median",
agg_method="median",
)
def median(
self,
numeric_only: bool = False,
engine: str | None = None,
engine_kwargs: dict[str, bool] | None = None,
):
return super().median(
numeric_only=numeric_only,
engine=engine,
engine_kwargs=engine_kwargs,
)
@doc(
template_header,
create_section_header("Parameters"),
dedent(
"""
ddof : int, default 1
Delta Degrees of Freedom. The divisor used in calculations
is ``N - ddof``, where ``N`` represents the number of elements.
"""
).replace("\n", "", 1),
kwargs_numeric_only,
window_agg_numba_parameters("1.4"),
create_section_header("Returns"),
template_returns,
create_section_header("See Also"),
"numpy.std : Equivalent method for NumPy array.\n",
template_see_also,
create_section_header("Notes"),
dedent(
"""
The default ``ddof`` of 1 used in :meth:`Series.std` is different
than the default ``ddof`` of 0 in :func:`numpy.std`.
A minimum of one period is required for the rolling calculation.\n
"""
).replace("\n", "", 1),
create_section_header("Examples"),
dedent(
"""
>>> s = pd.Series([5, 5, 6, 7, 5, 5, 5])
>>> s.rolling(3).std()
0 NaN
1 NaN
2 0.577350
3 1.000000
4 1.000000
5 1.154701
6 0.000000
dtype: float64
"""
).replace("\n", "", 1),
window_method="rolling",
aggregation_description="standard deviation",
agg_method="std",
)
def std(
self,
ddof: int = 1,
numeric_only: bool = False,
engine: str | None = None,
engine_kwargs: dict[str, bool] | None = None,
):
return super().std(
ddof=ddof,
numeric_only=numeric_only,
engine=engine,
engine_kwargs=engine_kwargs,
)
@doc(
template_header,
create_section_header("Parameters"),
dedent(
"""
ddof : int, default 1
Delta Degrees of Freedom. The divisor used in calculations
is ``N - ddof``, where ``N`` represents the number of elements.
"""
).replace("\n", "", 1),
kwargs_numeric_only,
window_agg_numba_parameters("1.4"),
create_section_header("Returns"),
template_returns,
create_section_header("See Also"),
"numpy.var : Equivalent method for NumPy array.\n",
template_see_also,
create_section_header("Notes"),
dedent(
"""
The default ``ddof`` of 1 used in :meth:`Series.var` is different
than the default ``ddof`` of 0 in :func:`numpy.var`.
A minimum of one period is required for the rolling calculation.\n
"""
).replace("\n", "", 1),
create_section_header("Examples"),
dedent(
"""
>>> s = pd.Series([5, 5, 6, 7, 5, 5, 5])
>>> s.rolling(3).var()
0 NaN
1 NaN
2 0.333333
3 1.000000
4 1.000000
5 1.333333
6 0.000000
dtype: float64
"""
).replace("\n", "", 1),
window_method="rolling",
aggregation_description="variance",
agg_method="var",
)
def var(
self,
ddof: int = 1,
numeric_only: bool = False,
engine: str | None = None,
engine_kwargs: dict[str, bool] | None = None,
):
return super().var(
ddof=ddof,
numeric_only=numeric_only,
engine=engine,
engine_kwargs=engine_kwargs,
)
@doc(
template_header,
create_section_header("Parameters"),
kwargs_numeric_only,
create_section_header("Returns"),
template_returns,
create_section_header("See Also"),
"scipy.stats.skew : Third moment of a probability density.\n",
template_see_also,
create_section_header("Notes"),
"A minimum of three periods is required for the rolling calculation.\n",
window_method="rolling",
aggregation_description="unbiased skewness",
agg_method="skew",
)
def skew(self, numeric_only: bool = False):
return super().skew(numeric_only=numeric_only)
@doc(
template_header,
create_section_header("Parameters"),
dedent(
"""
ddof : int, default 1
Delta Degrees of Freedom. The divisor used in calculations
is ``N - ddof``, where ``N`` represents the number of elements.
"""
).replace("\n", "", 1),
kwargs_numeric_only,
create_section_header("Returns"),
template_returns,
create_section_header("See Also"),
template_see_also,
create_section_header("Notes"),
"A minimum of one period is required for the calculation.\n\n",
create_section_header("Examples"),
dedent(
"""
>>> s = pd.Series([0, 1, 2, 3])
>>> s.rolling(2, min_periods=1).sem()
0 NaN
1 0.707107
2 0.707107
3 0.707107
dtype: float64
"""
).replace("\n", "", 1),
window_method="rolling",
aggregation_description="standard error of mean",
agg_method="sem",
)
def sem(self, ddof: int = 1, numeric_only: bool = False):
# Raise here so error message says sem instead of std
self._validate_numeric_only("sem", numeric_only)
return self.std(numeric_only=numeric_only) / (
self.count(numeric_only) - ddof
).pow(0.5)
@doc(
template_header,
create_section_header("Parameters"),
kwargs_numeric_only,
create_section_header("Returns"),
template_returns,
create_section_header("See Also"),
"scipy.stats.kurtosis : Reference SciPy method.\n",
template_see_also,
create_section_header("Notes"),
"A minimum of four periods is required for the calculation.\n\n",
create_section_header("Examples"),
dedent(
"""
The example below will show a rolling calculation with a window size of
four matching the equivalent function call using `scipy.stats`.
>>> arr = [1, 2, 3, 4, 999]
>>> import scipy.stats
>>> print(f"{{scipy.stats.kurtosis(arr[:-1], bias=False):.6f}}")
-1.200000
>>> print(f"{{scipy.stats.kurtosis(arr[1:], bias=False):.6f}}")
3.999946
>>> s = pd.Series(arr)
>>> s.rolling(4).kurt()
0 NaN
1 NaN
2 NaN
3 -1.200000
4 3.999946
dtype: float64
"""
).replace("\n", "", 1),
window_method="rolling",
aggregation_description="Fisher's definition of kurtosis without bias",
agg_method="kurt",
)
def kurt(self, numeric_only: bool = False):
return super().kurt(numeric_only=numeric_only)
@doc(
template_header,
create_section_header("Parameters"),
dedent(
"""
quantile : float
Quantile to compute. 0 <= quantile <= 1.
interpolation : {{'linear', 'lower', 'higher', 'midpoint', 'nearest'}}
This optional parameter specifies the interpolation method to use,
when the desired quantile lies between two data points `i` and `j`:
* linear: `i + (j - i) * fraction`, where `fraction` is the
fractional part of the index surrounded by `i` and `j`.
* lower: `i`.
* higher: `j`.
* nearest: `i` or `j` whichever is nearest.
* midpoint: (`i` + `j`) / 2.
"""
).replace("\n", "", 1),
kwargs_numeric_only,
create_section_header("Returns"),
template_returns,
create_section_header("See Also"),
template_see_also,
create_section_header("Examples"),
dedent(
"""
>>> s = pd.Series([1, 2, 3, 4])
>>> s.rolling(2).quantile(.4, interpolation='lower')
0 NaN
1 1.0
2 2.0
3 3.0
dtype: float64
>>> s.rolling(2).quantile(.4, interpolation='midpoint')
0 NaN
1 1.5
2 2.5
3 3.5
dtype: float64
"""
).replace("\n", "", 1),
window_method="rolling",
aggregation_description="quantile",
agg_method="quantile",
)
def quantile(
self,
quantile: float,
interpolation: QuantileInterpolation = "linear",
numeric_only: bool = False,
):
return super().quantile(
quantile=quantile,
interpolation=interpolation,
numeric_only=numeric_only,
)
@doc(
template_header,
".. versionadded:: 1.4.0 \n\n",
create_section_header("Parameters"),
dedent(
"""
method : {{'average', 'min', 'max'}}, default 'average'
How to rank the group of records that have the same value (i.e. ties):
* average: average rank of the group
* min: lowest rank in the group
* max: highest rank in the group
ascending : bool, default True
Whether or not the elements should be ranked in ascending order.
pct : bool, default False
Whether or not to display the returned rankings in percentile
form.
"""
).replace("\n", "", 1),
kwargs_numeric_only,
create_section_header("Returns"),
template_returns,
create_section_header("See Also"),
template_see_also,
create_section_header("Examples"),
dedent(
"""
>>> s = pd.Series([1, 4, 2, 3, 5, 3])
>>> s.rolling(3).rank()
0 NaN
1 NaN
2 2.0
3 2.0
4 3.0
5 1.5
dtype: float64
>>> s.rolling(3).rank(method="max")
0 NaN
1 NaN
2 2.0
3 2.0
4 3.0
5 2.0
dtype: float64
>>> s.rolling(3).rank(method="min")
0 NaN
1 NaN
2 2.0
3 2.0
4 3.0
5 1.0
dtype: float64
"""
).replace("\n", "", 1),
window_method="rolling",
aggregation_description="rank",
agg_method="rank",
)
def rank(
self,
method: WindowingRankType = "average",
ascending: bool = True,
pct: bool = False,
numeric_only: bool = False,
):
return super().rank(
method=method,
ascending=ascending,
pct=pct,
numeric_only=numeric_only,
)
@doc(
template_header,
create_section_header("Parameters"),
dedent(
"""
other : Series or DataFrame, optional
If not supplied then will default to self and produce pairwise
output.
pairwise : bool, default None
If False then only matching columns between self and other will be
used and the output will be a DataFrame.
If True then all pairwise combinations will be calculated and the
output will be a MultiIndexed DataFrame in the case of DataFrame
inputs. In the case of missing elements, only complete pairwise
observations will be used.
ddof : int, default 1
Delta Degrees of Freedom. The divisor used in calculations
is ``N - ddof``, where ``N`` represents the number of elements.
"""
).replace("\n", "", 1),
kwargs_numeric_only,
create_section_header("Returns"),
template_returns,
create_section_header("See Also"),
template_see_also[:-1],
window_method="rolling",
aggregation_description="sample covariance",
agg_method="cov",
)
def cov(
self,
other: DataFrame | Series | None = None,
pairwise: bool | None = None,
ddof: int = 1,
numeric_only: bool = False,
):
return super().cov(
other=other,
pairwise=pairwise,
ddof=ddof,
numeric_only=numeric_only,
)
@doc(
template_header,
create_section_header("Parameters"),
dedent(
"""
other : Series or DataFrame, optional
If not supplied then will default to self and produce pairwise
output.
pairwise : bool, default None
If False then only matching columns between self and other will be
used and the output will be a DataFrame.
If True then all pairwise combinations will be calculated and the
output will be a MultiIndexed DataFrame in the case of DataFrame
inputs. In the case of missing elements, only complete pairwise
observations will be used.
ddof : int, default 1
Delta Degrees of Freedom. The divisor used in calculations
is ``N - ddof``, where ``N`` represents the number of elements.
"""
).replace("\n", "", 1),
kwargs_numeric_only,
create_section_header("Returns"),
template_returns,
create_section_header("See Also"),
dedent(
"""
cov : Similar method to calculate covariance.
numpy.corrcoef : NumPy Pearson's correlation calculation.
"""
).replace("\n", "", 1),
template_see_also,
create_section_header("Notes"),
dedent(
"""
This function uses Pearson's definition of correlation
(https://en.wikipedia.org/wiki/Pearson_correlation_coefficient).
When `other` is not specified, the output will be self correlation (e.g.
all 1's), except for :class:`~pandas.DataFrame` inputs with `pairwise`
set to `True`.
Function will return ``NaN`` for correlations of equal valued sequences;
this is the result of a 0/0 division error.
When `pairwise` is set to `False`, only matching columns between `self` and
`other` will be used.
When `pairwise` is set to `True`, the output will be a MultiIndex DataFrame
with the original index on the first level, and the `other` DataFrame
columns on the second level.
In the case of missing elements, only complete pairwise observations
will be used.\n
"""
).replace("\n", "", 1),
create_section_header("Examples"),
dedent(
"""
The below example shows a rolling calculation with a window size of
four matching the equivalent function call using :meth:`numpy.corrcoef`.
>>> v1 = [3, 3, 3, 5, 8]
>>> v2 = [3, 4, 4, 4, 8]
>>> # numpy returns a 2X2 array, the correlation coefficient
>>> # is the number at entry [0][1]
>>> print(f"{{np.corrcoef(v1[:-1], v2[:-1])[0][1]:.6f}}")
0.333333
>>> print(f"{{np.corrcoef(v1[1:], v2[1:])[0][1]:.6f}}")
0.916949
>>> s1 = pd.Series(v1)
>>> s2 = pd.Series(v2)
>>> s1.rolling(4).corr(s2)
0 NaN
1 NaN
2 NaN
3 0.333333
4 0.916949
dtype: float64
The below example shows a similar rolling calculation on a
DataFrame using the pairwise option.
>>> matrix = np.array([[51., 35.], [49., 30.], [47., 32.],\
[46., 31.], [50., 36.]])
>>> print(np.corrcoef(matrix[:-1,0], matrix[:-1,1]).round(7))
[[1. 0.6263001]
[0.6263001 1. ]]
>>> print(np.corrcoef(matrix[1:,0], matrix[1:,1]).round(7))
[[1. 0.5553681]
[0.5553681 1. ]]
>>> df = pd.DataFrame(matrix, columns=['X','Y'])
>>> df
X Y
0 51.0 35.0
1 49.0 30.0
2 47.0 32.0
3 46.0 31.0
4 50.0 36.0
>>> df.rolling(4).corr(pairwise=True)
X Y
0 X NaN NaN
Y NaN NaN
1 X NaN NaN
Y NaN NaN
2 X NaN NaN
Y NaN NaN
3 X 1.000000 0.626300
Y 0.626300 1.000000
4 X 1.000000 0.555368
Y 0.555368 1.000000
"""
).replace("\n", "", 1),
window_method="rolling",
aggregation_description="correlation",
agg_method="corr",
)
def corr(
self,
other: DataFrame | Series | None = None,
pairwise: bool | None = None,
ddof: int = 1,
numeric_only: bool = False,
):
return super().corr(
other=other,
pairwise=pairwise,
ddof=ddof,
numeric_only=numeric_only,
)
Rolling.__doc__ = Window.__doc__
class RollingGroupby(BaseWindowGroupby, Rolling):
"""
Provide a rolling groupby implementation.
"""
_attributes = Rolling._attributes + BaseWindowGroupby._attributes
def _get_window_indexer(self) -> GroupbyIndexer:
"""
Return an indexer class that will compute the window start and end bounds
Returns
-------
GroupbyIndexer
"""
rolling_indexer: type[BaseIndexer]
indexer_kwargs: dict[str, Any] | None = None
index_array = self._index_array
if isinstance(self.window, BaseIndexer):
rolling_indexer = type(self.window)
indexer_kwargs = self.window.__dict__.copy()
assert isinstance(indexer_kwargs, dict) # for mypy
# We'll be using the index of each group later
indexer_kwargs.pop("index_array", None)
window = self.window
elif self._win_freq_i8 is not None:
rolling_indexer = VariableWindowIndexer
# error: Incompatible types in assignment (expression has type
# "int", variable has type "BaseIndexer")
window = self._win_freq_i8 # type: ignore[assignment]
else:
rolling_indexer = FixedWindowIndexer
window = self.window
window_indexer = GroupbyIndexer(
index_array=index_array,
window_size=window,
groupby_indices=self._grouper.indices,
window_indexer=rolling_indexer,
indexer_kwargs=indexer_kwargs,
)
return window_indexer
def _validate_datetimelike_monotonic(self):
"""
Validate that each group in self._on is monotonic
"""
# GH 46061
if self._on.hasnans:
self._raise_monotonic_error("values must not have NaT")
for group_indices in self._grouper.indices.values():
group_on = self._on.take(group_indices)
if not (
group_on.is_monotonic_increasing or group_on.is_monotonic_decreasing
):
on = "index" if self.on is None else self.on
raise ValueError(
f"Each group within {on} must be monotonic. "
f"Sort the values in {on} first."
)
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