vp.features.ewma

Gap-aware EWMA with resets (catalog/ewma.viv).

Part of the distribution vipyr; it runs from a checkout of the repository. Planned on PyPI as pip install vipyr.

Signature

vp.features.ewma(df=None, n=500, half_life='1D')

Parameters

df : pandas.DataFrame, default None

The event table, rows in any order; None makes a synthetic one of n rows.

n : int, default 500

Rows of the synthetic table when df is None. Range: >= 1.

half_life : str, default '1D'

Returns

A frozen EwmaResult. Iterating it gives the fields below in order; it also has params, tests, log and check().

frame : pandas.DataFrame

The features, one row per input row, in the input's order and index: .

Raises

TypeError

An argument of the wrong type, or an unknown keyword.

vipyr.VivBuildError

An ImportError: no C compiler, or the program's C does not build.

Examples

import vipyr as vp
r = vp.features.ewma()                      # a synthetic table; pass df= for yours
print(r.frame.head())
assert r.check()

        ewma  ewm_weight
0        NaN    0.000000
1  20.605000    0.656570
2  32.544731    1.067101
3  52.183958    1.867795
4  50.819510    0.797453

Each example ran as written when these pages were generated, and the output shown is what it printed.

Checked against

Reference

catalog.ewma_reference: a pandas groupby().apply() with a Python loop per row, equal to 10⁻¹³ relative; vipyr.check_point_in_time: no feature reads a row after its own time

Source

• Viv: catalog/ewma.viv
• Viv: catalog/catalog.py
• The defs it reaches and the calls between them: map of the code