Moving average or running mean

Question

Is there a SciPy function or NumPy function or module for Python that calculates the running mean of a 1D array given a specific window?

Answer 1

You can calculate a running mean with:

import numpy as np

def runningMean(x, N):
    y = np.zeros((len(x),))
    for ctr in range(len(x)):
         y[ctr] = np.sum(x[ctr:(ctr+N)])
    return y/N

But it's slow.

Fortunately, numpy includes a convolve function which we can use to speed things up. The running mean is equivalent to convolving x with a vector that is N long, with all members equal to 1/N. The numpy implementation of convolve includes the starting transient, so you have to remove the first N-1 points:

def runningMeanFast(x, N):
    return np.convolve(x, np.ones((N,))/N)[(N-1):]

On my machine, the fast version is 20-30 times faster, depending on the length of the input vector and size of the averaging window.

Note that convolve does include a 'same' mode which seems like it should address the starting transient issue, but it splits it between the beginning and end.