pandas /scipy/numpy是否提供累积标准偏差函数? [英] Does pandas/scipy/numpy provide a cumulative standard deviation function?

问题描述

我有一个熊猫系列.我需要得到sigma_i，这是直到索引i的序列的标准偏差.是否有任何现有功能可以有效地进行计算?

I have a pandas series. I need to get sigma_i, which is the standard deviation of a series up to index i. Is there any existing function which efficiently calculates that?

我注意到有cummax，cummin函数.

I noticed that there are cummax, cummin functions.

推荐答案

请参见pandas.expanding_std.

例如:

import numpy as np
import matplotlib.pyplot as plt
import pandas
%matplotlib inline

data = pandas.Series(np.random.normal(size=37))

full_std = np.std(data)
expand_std = pandas.expanding_std(data, min_periods=1)

fig, ax = plt.subplots()
expand_std.plot(ax=ax, color='k', linewidth=1.5, label='Expanded Std. Dev.')
ax.axhline(y=full_std, color='g', label='Full Value')
ax.legend()

糟糕，忘记了图片:

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