[Numpy-discussion] Pandas LongPanel/WidePanel for 3d timeseries?

totalbull@ma... totalbull@ma...
Sun Jan 17 17:43:42 CST 2010


Hello, 

I am successfully using the new Pandas library for series and matrix analysis using 2 dimensional arrays. I am using the "fromDict" method which works well, and I am creating 2-dimensional arrays where each axis is indexed by FX currency names. So for example pandas DataFrame called aa:

>>> aa.columns
Index([AUDUSD, EURCHF, EURCZK, EURHUF, EURPLN, EURSEK, EURUSD, GBPUSD,
       NZDUSD, USDBRL, USDCAD, USDCLP, USDILS, USDJPY, USDKRW, USDMXN,
       USDRUB, USDSGD, USDTRY, USDTWD, USDZAR], dtype=object)
>>> aa.rows
<bound method DataFrame.rows of <class 'pandas.core.frame.DataFrame'>
Index: 21 entries, AUDUSD to USDZAR
Data columns:
AUDUSD    20  non-null values
EURCHF    20  non-null values
EURCZK    20  non-null values
EURHUF    20  non-null values
EURPLN    20  non-null values
EURSEK    20  non-null values
EURUSD    20  non-null values
GBPUSD    20  non-null values
NZDUSD    20  non-null values
USDBRL    20  non-null values
USDCAD    20  non-null values
USDCLP    20  non-null values
USDILS    20  non-null values
USDJPY    20  non-null values
USDKRW    20  non-null values
USDMXN    20  non-null values
USDRUB    20  non-null values
USDSGD    20  non-null values
USDTRY    20  non-null values
USDTWD    20  non-null values
USDZAR    20  non-null values
>
>>> aa['USDZAR']['USDTWD']
1.2711725043942563
>>>

(each cell contains the number of standard errors of today's prices in the linear regression of the two currency pairs). Now I want to create a 3 dimensional stack of these aa-style matrices, where the z axis is indexed by historical dates. IE one matrix for each date, from today, going back 2 years. What is the best pandas function for doing this? Is it pandas.WidePanel or pandas.LongPanel, and how do I use these functions to construct this 3d stack? (I would ideally like to append each 2d matrix to the 3d stack as I create each one). 

Thanks for the help...... unfortunately can't find this in the online docs. 

Tom


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