rolling

Efficient rolling window algorithms

Project description

rolling is a collection of computationally efficient rolling window iterators for Python.

Many useful arithmetical, logical and statistical functions are implemented to allow the window to be computed in sub-linear time (and in many instances constant time). These include:

Sum
Min and Max
All and Any
Mean, Median and Mode
Variance and Standard deviation

There’s also a more general ‘apply’ mode where any specific function can be applied to the window. Both fixed-length and variable-length windows are supported.