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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.

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