如何计算与 pandas 的滚动相关性? [英] How to calculate Rolling Correlation with pandas?

问题描述

我了解如何计算滚动总和，std或平均值.示例:

I understand how to calculate a rolling sum, std or average. Example:

df['MA10'] = df['Asset1'].rolling(10).mean()

但是我不理解用于计算两个数据框列之间滚动相关性的语法:df['Asset1']和df['Asset2']

But I don't understand the syntax to calculate the rolling correlation between two dataframes columns: df['Asset1'] and df['Asset2']

文档中没有提供有关关联的任何示例.

The documentation doesn't provide any example regarding the correlation.

https://pandas.pydata.org/pandas-docs/stable/generated/pandas.DataFrame.rolling.html

有什么见解吗?

谢谢！

推荐答案

即使隐藏了一点，它也在那里:

It's in there, even if hidden a bit:

df['Asset1'].rolling(10).corr(df['Asset2'])

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