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

totalbull@ma... totalbull@ma...
Sun Jan 17 17:49:17 CST 2010


Apologies - too quick to ask the list without thoroughly checking the online docs. I have found the answer (fromDict method takes DataFrame objects):

http://pandas.sourceforge.net/generated/pandas.WidePanel.html#pandas.WidePanel

Still would like to know how to append 2d matrices one-by-one though. 


On 17 Jan 2010, at 23:43, totalbull@mac.com wrote:

> 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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