生成window对象
.rolling calls:pandas.DataFrame.rolling(),pandas.Series.rolling()
.expanding
calls:pandas.DataFrame.expanding(),pandas.Series.expanding()
.ewm calls: pandas.DataFrame.ewm(), pandas.Series.ewm()
例如数据框DataFrame的window对象生成
DataFrame.rolling(window, min_periods=None, freq=None, center=False, win_type=None, on=None, axis=0)
window：窗口的长度
min_periods=窗口移动最小的间隔，默认为1
center：是否在中间位置显示计算值，默认为Flase
win_type：
on：指定窗口移动的列，默认为索引列
axis：指定窗口移动方向
标准移动窗口函数：
Function | Describe | Rolling.count() rolling count of number of non-NaN Rolling.sum(*args,?**kwargs) rolling sum Rolling.mean(*args,?**kwargs) rolling mean Rolling.median(**kwargs) rolling median Rolling.var([ddof]) rolling variance Rolling.std([ddof]) rolling standard deviation Rolling.min(*args,?**kwargs) rolling minimum Rolling.max(*args,?**kwargs) rolling maximum Rolling.corr([other,?pairwise]) rolling sample correlation Rolling.cov([other,?pairwise,?ddof]) rolling sample covariance Rolling.skew(**kwargs) Unbiased rolling skewness Rolling.kurt(**kwargs) Unbiased rolling kurtosis Rolling.apply(func[,?args,?kwargs]) rolling function apply Rolling.quantile(quantile,?**kwargs) rolling quantile Window.mean(*args,?**kwargs) window mean Window.sum(*args,?**kwargs) window sum标准扩展窗口：
Function | Describe | Expanding.count(**kwargs) expanding count of number of non-NaN Expanding.sum(*args,?**kwargs) expanding sum Expanding.mean(*args,?**kwargs) expanding mean Expanding.median(**kwargs) expanding median Expanding.var([ddof]) expanding variance Expanding.std([ddof]) expanding standard deviation Expanding.min(*args,?**kwargs) expanding minimum Expanding.max(*args,?**kwargs) expanding maximum Expanding.corr([other,?pairwise]) expanding sample correlation Expanding.cov([other,?pairwise,?ddof]) expanding sample covariance Expanding.skew(**kwargs) Unbiased expanding skewness Expanding.kurt(**kwargs) Unbiased expanding kurtosis Expanding.apply(func[,?args,?kwargs]) expanding function apply Expanding.quantile(quantile,?**kwargs) expanding quantile指数权重移动窗口：
Function | Describe | EWM.mean(*args,?**kwargs) exponential weighted moving average EWM.std([bias]) exponential weighted moving stddev EWM.var([bias]) exponential weighted moving variance EWM.corr([other,?pairwise]) exponential weighted sample correlation EWM.cov([other,?pairwise,?bias]) exponential weighted sample covariance
