Python Running cumulative sum with a given window

Question

What I want to do is generate a numpy array that is the cumulative sum of another numpy array given a certain window.

For example, given an array [1,2,3,4,5,6

Answer 1

You should likely use numpy, unless you really don't care about speed (though I would prefere it anyways). So you could use convolve or stride_tricks based approaches (these are not obvious, but solve these things nicely).

For example given a function like this (you can find more and fancier versions too):

def embed(array, dim, lag=1):
    """Create an embedding of array given a resulting dimension and lag.
    The array will be raveled before embedding.
    """
    array = np.asarray(array)
    array = array.ravel()
    new = np.lib.stride_tricks.as_strided(array,
                                     (len(array)-dim*lag+lag, dim),
                                     (array.strides[0], array.strides[0]*lag))
    return new

You can do:

embedded = embed(array, 400)
result = embedded.sum(1)

Which is memory efficient (the embedding or whatever you call it, does only create a view) and fast. The other approach of course would be to use convolve:

np.convolve(array, np.ones(400), mode='valid')

I don't know if you want the non full windows too, this would be the same as using mode='full' (default) for the convolve. For the other approach, that would have to be handled some other way.