[Numpy-discussion] Rolling window (moving average, moving std, and more)
Erik Rigtorp
erik@rigtorp....
Fri Dec 31 22:29:14 CST 2010
Hi,
Implementing moving average, moving std and other functions working
over rolling windows using python for loops are slow. This is a
effective stride trick I learned from Keith Goodman's
<kwgoodman@gmail.com> Bottleneck code but generalized into arrays of
any dimension. This trick allows the loop to be performed in C code
and in the future hopefully using multiple cores.
import numpy as np
def rolling_window(a, window):
"""
Make an ndarray with a rolling window of the last dimension
Parameters
----------
a : array_like
Array to add rolling window to
window : int
Size of rolling window
Returns
-------
Array that is a view of the original array with a added dimension
of size w.
Examples
--------
>>> x=np.arange(10).reshape((2,5))
>>> rolling_window(x, 3)
array([[[0, 1, 2], [1, 2, 3], [2, 3, 4]],
[[5, 6, 7], [6, 7, 8], [7, 8, 9]]])
Calculate rolling mean of last dimension:
>>> np.mean(rolling_window(x, 3), -1)
array([[ 1., 2., 3.],
[ 6., 7., 8.]])
"""
if window < 1:
raise ValueError, "`window` must be at least 1."
if window > a.shape[-1]:
raise ValueError, "`window` is too long."
shape = a.shape[:-1] + (a.shape[-1] - window + 1, window)
strides = a.strides + (a.strides[-1],)
return np.lib.stride_tricks.as_strided(a, shape=shape, strides=strides)
Using np.swapaxes(-1, axis) rolling aggregations over any axis can be computed.
I submitted a pull request to add this to the stride_tricks module.
Erik
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