How to use rolling in pandas?

问题

I am working on the code below:

# Resample, interpolate and inspect ozone data here
data = data.resample('D').interpolate()
data.info()
# Create the rolling window
***rolling = data.rolling(360)['Ozone']

# Insert the rolling quantiles to the monthly returns
data['q10'] = rolling.quantile(.1)
data['q50'] = rolling.quantile(.5)
data['q90'] = rolling.quantile(.9)
# Plot the data
data.plot()
plt.show()

For the starred line (***), I was wondering, can I use the following instead?

data['Ozone'].rolling(360)

Why is the following expression False?

data.rolling(360)['Ozone']==data['Ozone'].rolling(360)

What are their differences?

回答1:

data.rolling(360)['Ozone'] & data['Ozone'].rolling(360) can be used interchangeably, but they should be compared after using an aggregation method, such as .mean, and pandas.DataFrame.equal should be used to make the comparison.
.rolling methods require a window, or number of observations used for the calculation. The values in the window, 10 in the example below, are filled with NaN.
pandas.DataFrame.rolling
pandas.Series.rolling
df.rolling(10)['A']) & df['A'].rolling(10) are a pandas.core.window.rolling.Rolling type, which won't compare.
- See the documentation and How do pandas Rolling objects work? for more details about how .rolling works.
Pandas: Window - functions

import pandas as pd
import numpy as np

# test data and dataframe
np.random.seed(10)
df = pd.DataFrame(np.random.randint(20, size=(20, 1)), columns=['A'])

# this is pandas.DataFrame.rolling with a column selection
df.rolling(10)['A']
[out]:
Rolling [window=10,center=False,axis=0]

# this is pandas.Series.rolling
df['A'].rolling(10)
[out]:
Rolling [window=10,center=False,axis=0]

# see that the type is the same, pandas.core.window.rolling.Rolling
type(df.rolling(10)['A']) == type(df['A'].rolling(10))
[out]:
True

# the two implementations evaluate as False, when compared
df.rolling(10)['A'] == df['A'].rolling(10)
[out]:
False

The objects can be compared once an aggregation method is used.
- Aggregating .mean, we can see the values used for the window are NaN.
df.rolling(10)['A'].mean() & df['A'].rolling(10).mean() are both pandas.core.series.Series type, which can be compared.

df.rolling(10)['A'].mean()
[out]:
0      NaN
1      NaN
2      NaN
3      NaN
4      NaN
5      NaN
6      NaN
7      NaN
8      NaN
9     12.3
10    12.2
11    12.1
12    12.3
13    11.1
14    12.1
15    12.3
16    12.3
17    12.0
18    11.5
19    11.9
Name: A, dtype: float64

df['A'].rolling(10).mean()
[out]:
0      NaN
1      NaN
2      NaN
3      NaN
4      NaN
5      NaN
6      NaN
7      NaN
8      NaN
9     12.3
10    12.2
11    12.1
12    12.3
13    11.1
14    12.1
15    12.3
16    12.3
17    12.0
18    11.5
19    11.9
Name: A, dtype: float64

They do not evaluate the same because np.nan == np.nan is False. Essentially, they are the same, but when comparing the two with ==, the rows with NaN evaluate as False.
Using pandas.DataFrame.equals however, treats NaNs in the same location as equal.

# row by row evaluation
df.rolling(10)['A'].mean() == df['A'].rolling(10).mean()
[out]:
0     False
1     False
2     False
3     False
4     False
5     False
6     False
7     False
8     False
9      True
10     True
11     True
12     True
13     True
14     True
15     True
16     True
17     True
18     True
19     True
Name: A, dtype: bool

# overall comparison
all(df.rolling(10)['A'].mean() == df['A'].rolling(10).mean())
[out]:
False

# using pandas.DataFrame.equals
df.rolling(10)['A'].mean().equals(df['A'].rolling(10).mean())
[out]:
True

来源：https://stackoverflow.com/questions/63508736/how-to-use-rolling-in-pandas

标签

python

pandas