[SciPy-user] TimeSeries - Questions Re lib/moving_funcs.py

pablo mitchell pablo_mitchell@yahoo....
Tue Dec 4 23:47:03 CST 2007

The C source code seems able to accommodate my suggestion of making the covariance the central function and the remaining ones the facades.  Just a suggestion.

Another suggestion:  a new class similar to TimeSeriesRecords.  

For my purposes, I would prefer to be able to instantiate a 2-D time-series that can be indexed not just on dates (temporal) but also on variable names (spatial if you will).  For example, a time-series structure like:

            var-1  var-2  ... var-n
    date-1  x-11   x-12   ... x-1n       
    date-2  x-21   x-22   ... x-2n
    date-m  x-m1   x-m2   ... x-mn

could be sliced 

    time-series[date-i:date-j, :]

as well as

    time-series[:, var-i:var-j]

Thanks again -- P

----- Original Message ----
From: Pierre GM <pgmdevlist@gmail.com>
To: pablo mitchell <pablo.mitchell@cal.berkeley.edu>; SciPy Users List <scipy-user@scipy.org>
Sent: Tuesday, December 4, 2007 9:07:56 PM
Subject: Re: [SciPy-user] TimeSeries - Questions Re lib/moving_funcs.py

Hello Pablo,
Yes ! Another user !

> * Why do the comments in the source code indicate that many of the
> functions are intended only for 1-D arrays (mov_var for example)?

Because we're confident it works fine with 1D, but haven't tested
thoroughly  enough to be as confident with nD arrays. And we don't
want to advertise something we can't deliver.

> A very brief look at the source doesn't indicate why this should be.
> throwing some quick example code together suing 2-D arrays generates
> results.  The code does not seem to bomb.

Actually, I prefer a code that bombs than one that deceives me into
it works when it does not.

> * The covariance related code is constructed in a way I would not

All the moving functions of this module are wrappers to C functions. We
 use C 
for performance more than for portability (cf the regular problems with
installation...). What you suggest sounds like a good idea, I'll kick
ball to my co-author, he's the C speaker of the duo.

> * This is a really nice package!  Look forward to seeing it grow.

Thanks a lot for your support ! I wish I could spend more time on the
and less time on writing papers, however... Your suggestions and
 comments are 
always welcome.

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