Пример #1
0
        def call_cython(arg, window, minp, args=(), kwargs={}, **kwds):
            minp = check_minp(minp, window)
            return func(arg, window, minp, **kwds)
        return _rolling_moment(arg, window, call_cython, min_periods, freq=freq,
                               center=center, how=how, **kwargs)

    return f

rolling_max = _rolling_func(algos.roll_max2, 'Moving maximum.', how='max')
rolling_min = _rolling_func(algos.roll_min2, 'Moving minimum.', how='min')
rolling_sum = _rolling_func(algos.roll_sum, 'Moving sum.')
rolling_mean = _rolling_func(algos.roll_mean, 'Moving mean.')
rolling_median = _rolling_func(algos.roll_median_cython, 'Moving median.',
                               how='median')

_ts_std = lambda *a, **kw: _zsqrt(algos.roll_var(*a, **kw))
rolling_std = _rolling_func(_ts_std, 'Unbiased moving standard deviation.',
                            check_minp=_require_min_periods(1))
rolling_var = _rolling_func(algos.roll_var, 'Unbiased moving variance.',
                            check_minp=_require_min_periods(1))
rolling_skew = _rolling_func(algos.roll_skew, 'Unbiased moving skewness.',
                             check_minp=_require_min_periods(3))
rolling_kurt = _rolling_func(algos.roll_kurt, 'Unbiased moving kurtosis.',
                             check_minp=_require_min_periods(4))


def rolling_quantile(arg, window, quantile, min_periods=None, freq=None,
                     center=False):
    """Moving quantile.

    Parameters
Пример #2
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 def f(arg, *args, **kwargs):
     minp = _require_min_periods(1)(self.min_periods, window)
     return _zsqrt(algos.roll_var(arg, window, minp, ddof))
Пример #3
0
                               center=center,
                               how=how,
                               **kwargs)

    return f


rolling_max = _rolling_func(algos.roll_max2, 'Moving maximum.', how='max')
rolling_min = _rolling_func(algos.roll_min2, 'Moving minimum.', how='min')
rolling_sum = _rolling_func(algos.roll_sum, 'Moving sum.')
rolling_mean = _rolling_func(algos.roll_mean, 'Moving mean.')
rolling_median = _rolling_func(algos.roll_median_cython,
                               'Moving median.',
                               how='median')

_ts_std = lambda *a, **kw: _zsqrt(algos.roll_var(*a, **kw))
rolling_std = _rolling_func(_ts_std,
                            'Unbiased moving standard deviation.',
                            check_minp=_require_min_periods(1))
rolling_var = _rolling_func(algos.roll_var,
                            'Unbiased moving variance.',
                            check_minp=_require_min_periods(1))
rolling_skew = _rolling_func(algos.roll_skew,
                             'Unbiased moving skewness.',
                             check_minp=_require_min_periods(3))
rolling_kurt = _rolling_func(algos.roll_kurt,
                             'Unbiased moving kurtosis.',
                             check_minp=_require_min_periods(4))


def rolling_quantile(arg,
Пример #4
0
 def f(arg, *args, **kwargs):
     minp = _require_min_periods(1)(self.min_periods, window)
     return _zsqrt(algos.roll_var(arg, window, minp, ddof))