Efficient rolling window algorithms
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:
- 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.