计算沿每一列的Pandas DataFrame自相关 [英] Calculating Autocorrelation of Pandas DataFrame along each Column

问题描述

我想计算Pandas DataFrame列中滞后长度为1的自相关系数.我的数据的摘要是:

I want to calculate the autocorrelation coefficients of lag length one among columns of a Pandas DataFrame. A snippet of my data is:

            RF        PC         C         D        PN        DN         P
year                                                                      
1890       NaN       NaN       NaN       NaN       NaN       NaN       NaN
1891 -0.028470 -0.052632  0.042254  0.081818 -0.045541  0.047619 -0.016974
1892 -0.249084  0.000000  0.027027  0.067227  0.099404  0.045455  0.122337
1893  0.653659  0.000000  0.000000  0.039370 -0.135624  0.043478 -0.142062

年，我想为每列( RF ， PC 等)计算滞后一的自相关.

Along year, I want to calculate autocorrelations of lag one for each column (RF, PC, etc...).

为了计算自相关，我为开始和结束数据相差一年的每一列提取了两个时间序列，然后使用numpy.corrcoef计算了相关系数.

To calculate the autocorrelations, I extracted two time series for each column whose start and end data differed by one year and then calculated correlation coefficients with numpy.corrcoef.

例如，我写道:

numpy.corrcoef(data[['C']][1:-1],data[['C']][2:])

(整个DataFrame称为data).
但是，不幸的是，该命令返回了:

(the entire DataFrame is called data).
However, the command unfortunately returned:

array([[ nan,  nan,  nan, ...,  nan,  nan,  nan],
       [ nan,  nan,  nan, ...,  nan,  nan,  nan],
       [ nan,  nan,  nan, ...,  nan,  nan,  nan],
       ..., 
       [ nan,  nan,  nan, ...,  nan,  nan,  nan],
       [ nan,  nan,  nan, ...,  nan,  nan,  nan],
       [ nan,  nan,  nan, ...,  nan,  nan,  nan]])

有人可以建议我如何计算自相关吗?

Can somebody kindly advise me on how to calculate autocorrelations?

推荐答案

您应使用:

numpy.corrcoef(df['C'][1:-1], df['C'][2:])

df[['C']]表示只有一列的数据框，而df['C']是包含C列中值的系列.

df[['C']] represents a dataframe with only one column, while df['C'] is a series containing the values in your C column.

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