polars-timeseries-utils 0.1.6

Library with utility functions for Polars DataFrames, similar to scikit-learn & pandas functionalities.

polars-timeseries-utils

A Python library providing scikit-learn style transformers and utilities for time series data processing with Polars.

Features

• Single Transformers: Scikit-learn style fit/transform API for Polars Series
• Composable Transformers: Apply transformers to DataFrames and chain them in pipelines
• Preprocessing Utilities: Frequency detection, timestamp handling, and ETL functions
• Statistics: Rolling and static z-score calculations for anomaly detection
• Full Polars Integration: Works with both DataFrame and LazyFrame

Installation

pip install polars-timeseries-utils

Or with uv:

uv add polars-timeseries-utils

Package Structure

polars_timeseries_utils/
├── transformers/
│   ├── single/        # Series-level transformers (fit/transform on pl.Series)
│   └── composable/    # DataFrame-level transformers (MultiColumnTransformer, Pipeline)
├── preprocessing/     # ETL, frequency detection, timestamp handling
└── stats/            # Z-score functions for anomaly detection

Quick Start

Single Transformers

All single transformers follow the scikit-learn fit/transform pattern and operate on pl.Series:

import polars as pl
from polars_timeseries_utils.transformers.single import (
    Imputer,
    MinMaxScaler,
    StandardScaler,
    RobustScaler,
    Smoother,
    LagTransformer,
    DiffTransformer,
    Strategy,
)

# Impute missing values
series = pl.Series("value", [1.0, None, 3.0, None, 5.0])
imputer = Imputer(strategy=Strategy.MEAN)
filled = imputer.fit_transform(series)
# Result: [1.0, 3.0, 3.0, 3.0, 5.0]

# Scale to [0, 1] range
series = pl.Series("value", [0.0, 25.0, 50.0, 75.0, 100.0])
scaler = MinMaxScaler()
scaled = scaler.fit_transform(series)
# Result: [0.0, 0.25, 0.5, 0.75, 1.0]

# Inverse transform to get original values back
original = scaler.inverse_transform(scaled)
# Result: [0.0, 25.0, 50.0, 75.0, 100.0]

Available Single Transformers

Transformer	Description
Imputer	Fill missing values with a constant or strategy (mean, median, min, max, forward, backward)
RollingImputer	Fill missing values using rolling window statistics
MinMaxScaler	Scale values to [0, 1] range
StandardScaler	Standardize to zero mean and unit variance
RobustScaler	Scale using median and IQR (robust to outliers)
Smoother	Clip outliers based on z-score threshold
RollingSmoother	Clip outliers using rolling z-score
LagTransformer	Create lag features for time series
DiffTransformer	Apply differencing for stationarity

Imputation Strategies

from polars_timeseries_utils.transformers.single import (
    Imputer,
    RollingImputer,
    Strategy,
    RollingStrategy,
)

# Static strategies
Imputer(strategy=Strategy.MEAN)      # Fill with column mean
Imputer(strategy=Strategy.MEDIAN)    # Fill with column median
Imputer(strategy=Strategy.FORWARD)   # Forward fill
Imputer(strategy=Strategy.BACKWARD)  # Backward fill
Imputer(value=0)                     # Fill with constant value

# Rolling strategies
RollingImputer(window_size=5, strategy=RollingStrategy.MEAN)
RollingImputer(window_size=5, strategy=RollingStrategy.MEDIAN)

Composable Transformers

Apply single transformers to multiple DataFrame columns at once:

import polars as pl
from polars_timeseries_utils.transformers.single import Imputer, MinMaxScaler, Strategy
from polars_timeseries_utils.transformers.composable import (
    MultiColumnTransformer,
    ColumnTransformerMetadata,
)

df = pl.DataFrame({
    "timestamp": ["2023-01-01", "2023-01-02", "2023-01-03"],
    "temperature": [20.0, None, 22.0],
    "humidity": [50.0, 55.0, None],
})

# Define transformers for specific columns
transformer = MultiColumnTransformer([
    ColumnTransformerMetadata(
        name="imputer",
        columns=["temperature", "humidity"],
        transformer=Imputer(strategy=Strategy.MEAN),
    ),
])

result = transformer.fit_transform(df)

You can also select columns by dtype:

import polars as pl
from polars_timeseries_utils.transformers.single import MinMaxScaler
from polars_timeseries_utils.transformers.composable import (
    MultiColumnTransformer,
    ColumnTransformerMetadata,
)

transformer = MultiColumnTransformer([
    ColumnTransformerMetadata(
        name="scale_floats",
        columns=[pl.Float64],  # Apply to all Float64 columns
        transformer=MinMaxScaler(),
    ),
])

Pipelines

Chain multiple transformation steps:

from polars_timeseries_utils.transformers.single import Imputer, MinMaxScaler, Strategy
from polars_timeseries_utils.transformers.composable import (
    Pipeline,
    MultiColumnTransformer,
    MultiColumnTransformerMetadata,
    ColumnTransformerMetadata,
)

# Create pipeline steps
impute_step = MultiColumnTransformer([
    ColumnTransformerMetadata(
        name="imputer",
        columns=["value"],
        transformer=Imputer(strategy=Strategy.MEAN),
    ),
])

scale_step = MultiColumnTransformer([
    ColumnTransformerMetadata(
        name="scaler",
        columns=["value"],
        transformer=MinMaxScaler(),
    ),
])

# Build and run pipeline
pipeline = Pipeline([
    MultiColumnTransformerMetadata(name="impute", transformer=impute_step),
    MultiColumnTransformerMetadata(name="scale", transformer=scale_step),
])

result = pipeline.fit_transform(df)

Preprocessing Utilities

Clean Time Series Data

from datetime import datetime
import polars as pl
from polars_timeseries_utils.preprocessing import clean_timeseries_df

df = pl.DataFrame({
    "timestamp": [datetime(2023, 1, 3), datetime(2023, 1, 1), datetime(2023, 1, 2)],
    "value": [3.0, None, 100.0],  # Contains null and outlier
})

# Sorts, removes duplicates, imputes nulls, and smooths outliers
cleaned = clean_timeseries_df(df, ts_col="timestamp", window_size=3, max_zscore=2.0)

Frequency Detection

from datetime import datetime
import polars as pl
from polars_timeseries_utils.preprocessing import infer_frequency, Frequency

series = pl.Series("ts", [datetime(2023, 1, i) for i in range(1, 11)])
freq = infer_frequency(series)
# Result: Frequency.DAILY

Timestamp Handling

from polars_timeseries_utils.preprocessing import (
    handle_timestamp_column_raises_if_error,
    next_timestamp,
    last_timestamp,
    Frequency,
)

# Auto-detect and cast timestamp column
df, ts_col = handle_timestamp_column_raises_if_error(df)

# Get next timestamp in sequence
next_ts = next_timestamp(df[ts_col], Frequency.DAILY)

Statistics

Calculate z-scores for anomaly detection:

from polars_timeseries_utils.stats import zscore_df, rolling_zscore_df

# Static z-score
result = zscore_df(df, col="value", with_median="med", with_std="std")

# Rolling z-score (uses MAD for robustness)
result = rolling_zscore_df(
    df,
    col="value",
    window_size=10,
    alias="z_score",
    with_median="rolling_med",
    with_mad="rolling_mad",
)

LazyFrame Support

All functions work with both DataFrame and LazyFrame:

import polars as pl
from polars_timeseries_utils.transformers.single import MinMaxScaler
from polars_timeseries_utils.transformers.composable import (
    MultiColumnTransformer,
    ColumnTransformerMetadata,
)

lf = pl.LazyFrame({"value": [1.0, 2.0, 3.0]})

transformer = MultiColumnTransformer([
    ColumnTransformerMetadata(
        name="scaler",
        columns=["value"],
        transformer=MinMaxScaler(),
    ),
])

# Returns LazyFrame
result = transformer.fit_transform(lf)

# Collect when ready
df = result.collect()

API Reference

Single Transformers (transformers.single)

All transformers inherit from BaseColumnTransformer and implement:

• fit(series: pl.Series) -> Self - Learn parameters from data
• transform(series: pl.Series) -> pl.Series - Apply transformation
• fit_transform(series: pl.Series) -> pl.Series - Fit and transform in one step

Scalers also implement InverseTransformerMixin:

• inverse_transform(series: pl.Series) -> pl.Series - Reverse the transformation

Composable Transformers (transformers.composable)

• MultiColumnTransformer - Apply single transformers to DataFrame columns
• Pipeline - Chain multiple MultiColumnTransformer steps
• ColumnTransformerMetadata - Configuration for column-transformer mapping
• MultiColumnTransformerMetadata - Configuration for pipeline steps

Statistics (stats)

• zscore(series) - Calculate z-score of a Series
• zscore_df(df, col, ...) - Calculate z-score with optional median/std columns
• rolling_zscore(series, window_size, ...) - Rolling z-score of a Series
• rolling_zscore_df(df, col, window_size, ...) - Rolling z-score with optional outputs

Preprocessing (preprocessing)

• clean_timeseries_df(df, ts_col, ...) - Sort, dedupe, impute, and smooth
• infer_frequency(series) - Detect time series frequency
• handle_timestamp_column_raises_if_error(df, col) - Auto-detect and cast timestamps
• next_timestamp(series, frequency) - Get next timestamp in sequence
• last_timestamp(series) - Get maximum timestamp
• Frequency - Enum for time series frequencies (HOURLY, DAILY, MONTHLY, YEARLY)

License

MIT

Contributing

Contributions are welcome! Please open an issue or submit a pull request on GitHub.