为什么 pandas 滚动使用一维ndarray [英] why does pandas rolling use single dimension ndarray
问题描述
我的动机是使用 pandas rolling 功能来执行滚动多因子回归(这个问题不是关于滚动多因子回归).我希望我能够在 df.rolling(2) 之后使用 apply 并获取结果 pd.DataFrame 提取 ndarray使用 .values 并执行必要的矩阵乘法.结果不是这样.
这是我发现的:
将pandas导入为pd将 numpy 导入为 npnp.random.seed([3,1415])df = pd.DataFrame(np.random.rand(5, 2).round(2), columns=['A', 'B'])X = np.random.rand(2, 1).round(2)物体是什么样子的:
print "
df =
", df打印 "
X =
", X打印 "
df.shape =", df.shape, ", X.shape =", X.shapedf =甲乙0 0.44 0.411 0.46 0.472 0.46 0.023 0.85 0.824 0.78 0.76X =[[0.93][0.83]]df.shape = (5, 2) , X.shape = (2L, 1L)矩阵乘法正常:
df.values.dot(X)数组([[ 0.7495],[0.8179]，[0.4444]，[1.4711]，[1.3562]])使用 apply 执行逐行点积的行为符合预期:
df.apply(lambda x: x.values.dot(X)[0], axis=1)0 0.74951 0.81792 0.44443 1.47114 1.3562数据类型:float64Groupby -> Apply 的行为符合我的预期:
df.groupby(level=0).apply(lambda x: x.values.dot(X)[0, 0])0 0.74951 0.81792 0.44443 1.47114 1.3562数据类型:float64但是当我跑步时:
df.rolling(1).apply(lambda x: x.values.dot(X))我明白了:
<块引用>AttributeError: 'numpy.ndarray' 对象没有属性 'values'
好的，所以 Pandas 在它的 rolling 实现中使用了直接的 ndarray.我可以处理.我们不使用 .values 来获取 ndarray，而是尝试:
df.rolling(1).apply(lambda x: x.dot(X))<块引用>
形状 (1,) 和 (2,1) 未对齐:1 (dim 0) != 2 (dim 0)
等等！什么?！
所以我创建了一个自定义函数来查看滚动正在做什么.
def print_type_sum(x):打印类型(x)，x.shape返回 x.sum()然后跑:
print df.rolling(1).apply(print_type_sum)<输入'numpy.ndarray'>(1L,)<输入'numpy.ndarray'>(1L,)<输入'numpy.ndarray'>(1L,)<输入'numpy.ndarray'>(1L,)<输入'numpy.ndarray'>(1L,)<输入'numpy.ndarray'>(1L,)<输入'numpy.ndarray'>(1L,)<输入'numpy.ndarray'>(1L,)<输入'numpy.ndarray'>(1L,)<输入'numpy.ndarray'>(1L,)甲乙0 0.44 0.411 0.46 0.472 0.46 0.023 0.85 0.824 0.78 0.76我得到的 pd.DataFrame 是一样的，这很好.但它打印出 10 个一维 ndarray 对象.rolling(2)
print df.rolling(2).apply(print_type_sum)<输入'numpy.ndarray'>(2L,)<输入'numpy.ndarray'>(2L,)<输入'numpy.ndarray'>(2L,)<输入'numpy.ndarray'>(2L,)<输入'numpy.ndarray'>(2L,)<输入'numpy.ndarray'>(2L,)<输入'numpy.ndarray'>(2L,)<输入'numpy.ndarray'>(2L,)甲乙0 南南1 0.90 0.882 0.92 0.493 1.31 0.844 1.63 1.58同样的事情，期待输出，但它打印了 8 个 ndarray 对象.rolling 正在为每一列生成一个长度为 window 的单维 ndarray，而不是我期望的 ndarray> 形状 (window, len(df.columns)).
问题是为什么?
我现在没有办法轻松运行滚动多因素回归.
使用strides views concept on dataframe，这是一种矢量化方法 -
get_sliding_window(df, 2).dot(X) # 窗口大小 = 2运行时测试 -
在 [101]: df = pd.DataFrame(np.random.rand(5, 2).round(2), columns=['A', 'B'])在 [102] 中:X = np.array([2, 3])在 [103] 中:rolled_df = roll(df, 2)在 [104]: %timeitrolled_df.apply(lambda df: pd.Series(df.values.dot(X)))100 个循环，最好的 3 个:每个循环 5.51 毫秒在 [105]: %timeit get_sliding_window(df, 2).dot(X)10000 个循环，最好的 3 个:每个循环 43.7 µs验证结果 -
在[106]:rolled_df.apply(lambda df: pd.Series(df.values.dot(X)))出[106]:0 11 2.70 4.092 4.09 2.523 2.52 1.784 1.78 3.50在 [107] 中:get_sliding_window(df, 2).dot(X)出[107]:数组([[ 2.7 , 4.09],[4.09, 2.52],[2.52, 1.78],[ 1.78, 3.5 ]])那里有巨大的改进，我希望在更大的阵列上会保持明显！
I was motivated to use pandas rolling feature to perform a rolling multi-factor regression (This question is NOT about rolling multi-factor regression). I expected that I'd be able to use apply after a df.rolling(2) and take the resulting pd.DataFrame extract the ndarray with .values and perform the requisite matrix multiplication. It didn't work out that way.
Here is what I found:
import pandas as pd
import numpy as np
np.random.seed([3,1415])
df = pd.DataFrame(np.random.rand(5, 2).round(2), columns=['A', 'B'])
X = np.random.rand(2, 1).round(2)
What do objects look like:
print "
df =
", df
print "
X =
", X
print "
df.shape =", df.shape, ", X.shape =", X.shape
df =
A B
0 0.44 0.41
1 0.46 0.47
2 0.46 0.02
3 0.85 0.82
4 0.78 0.76
X =
[[ 0.93]
[ 0.83]]
df.shape = (5, 2) , X.shape = (2L, 1L)
Matrix multiplication behaves normally:
df.values.dot(X)
array([[ 0.7495],
[ 0.8179],
[ 0.4444],
[ 1.4711],
[ 1.3562]])
Using apply to perform row by row dot product behaves as expected:
df.apply(lambda x: x.values.dot(X)[0], axis=1)
0 0.7495
1 0.8179
2 0.4444
3 1.4711
4 1.3562
dtype: float64
Groupby -> Apply behaves as I'd expect:
df.groupby(level=0).apply(lambda x: x.values.dot(X)[0, 0])
0 0.7495
1 0.8179
2 0.4444
3 1.4711
4 1.3562
dtype: float64
But when I run:
df.rolling(1).apply(lambda x: x.values.dot(X))
I get:
AttributeError: 'numpy.ndarray' object has no attribute 'values'
Ok, so pandas is using straight ndarray within its rolling implementation. I can handle that. Instead of using .values to get the ndarray, let's try:
df.rolling(1).apply(lambda x: x.dot(X))
shapes (1,) and (2,1) not aligned: 1 (dim 0) != 2 (dim 0)
Wait! What?!
So I created a custom function to look at the what rolling is doing.
def print_type_sum(x):
print type(x), x.shape
return x.sum()
Then ran:
print df.rolling(1).apply(print_type_sum)
<type 'numpy.ndarray'> (1L,)
<type 'numpy.ndarray'> (1L,)
<type 'numpy.ndarray'> (1L,)
<type 'numpy.ndarray'> (1L,)
<type 'numpy.ndarray'> (1L,)
<type 'numpy.ndarray'> (1L,)
<type 'numpy.ndarray'> (1L,)
<type 'numpy.ndarray'> (1L,)
<type 'numpy.ndarray'> (1L,)
<type 'numpy.ndarray'> (1L,)
A B
0 0.44 0.41
1 0.46 0.47
2 0.46 0.02
3 0.85 0.82
4 0.78 0.76
My resulting pd.DataFrame is the same, that's good. But it printed out 10 single dimensional ndarray objects. What about rolling(2)
print df.rolling(2).apply(print_type_sum)
<type 'numpy.ndarray'> (2L,)
<type 'numpy.ndarray'> (2L,)
<type 'numpy.ndarray'> (2L,)
<type 'numpy.ndarray'> (2L,)
<type 'numpy.ndarray'> (2L,)
<type 'numpy.ndarray'> (2L,)
<type 'numpy.ndarray'> (2L,)
<type 'numpy.ndarray'> (2L,)
A B
0 NaN NaN
1 0.90 0.88
2 0.92 0.49
3 1.31 0.84
4 1.63 1.58
Same thing, expect output but it printed 8 ndarray objects. rolling is producing a single dimensional ndarray of length window for each column as opposed to what I expected which was an ndarray of shape (window, len(df.columns)).
Question is Why?
I now don't have a way to easily run a rolling multi-factor regression.
Using the strides views concept on dataframe, here's a vectorized approach -
get_sliding_window(df, 2).dot(X) # window size = 2
Runtime test -
In [101]: df = pd.DataFrame(np.random.rand(5, 2).round(2), columns=['A', 'B'])
In [102]: X = np.array([2, 3])
In [103]: rolled_df = roll(df, 2)
In [104]: %timeit rolled_df.apply(lambda df: pd.Series(df.values.dot(X)))
100 loops, best of 3: 5.51 ms per loop
In [105]: %timeit get_sliding_window(df, 2).dot(X)
10000 loops, best of 3: 43.7 µs per loop
Verify results -
In [106]: rolled_df.apply(lambda df: pd.Series(df.values.dot(X)))
Out[106]:
0 1
1 2.70 4.09
2 4.09 2.52
3 2.52 1.78
4 1.78 3.50
In [107]: get_sliding_window(df, 2).dot(X)
Out[107]:
array([[ 2.7 , 4.09],
[ 4.09, 2.52],
[ 2.52, 1.78],
[ 1.78, 3.5 ]])
Huge improvement there, which I am hoping would stay noticeable on larger arrays!
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