Python：如何对均值和标准差进行winsorize？答案

【问题标题】：Python: How to winsorize the Mean and Standard Deviation?Python：如何对均值和标准差进行winsorize？
【发布时间】：2020-10-31 23:16:39
【问题描述】：

我有一个代码用于多个不同的指标（例如风险价值、Omega、Sortino 等）。我用于平均值的公式是：

平均值（平均值）：

e = numpy.mean(r)

return numpy.mean(diff) / vol(diff)

标准差：

return numpy.std(returns)

我想对我的计算中使用的均值（和标准差）进行微调。谁能建议怎么做？我找到了这部分，但不确定如何实现它（如果是这样的话）：

https://docs.scipy.org/doc/scipy/reference/generated/scipy.stats.mstats.winsorize.html

谢谢

【问题讨论】：

标签： python numpy

【解决方案1】：

试试这个：

import os
import numpy as np

from scipy.stats.mstats import winsorize

file_location = input("path to file: ")
dirname = os.path.dirname(file_location)
filename = os.path.basename(file_location)

with open(file_location, 'r') as readfile, \
        open(os.path.join(dirname, 'win_' + filename), 'w') as writefile1, \
        open(os.path.join(dirname, 'mod_' + filename), 'w') as writefile2:
    writefile1.write('adj_mean,adj_std\n')
    for idx, line in enumerate(readfile):
        print("Reading line# {}...".format(idx))
        series = np.array([float(x) for x in line.split(',')])
        print("Read {} values...".format(len(series)))
        winsorized_series = winsorize(series, limits=[0.10, 0.10])
        print("Writing modified series to file...")
        writefile2.write(','.join(map(str, winsorized_series)) + '\n')
        adj_mean = np.mean(winsorized_series)
        adj_std = np.std(winsorized_series)
        print("adj mean and std dev...")
        writefile1.write("{},{}\n".format(adj_mean, adj_std))

【讨论】：

【解决方案2】：

要获得准确的答案，需要MCVE。

假设 'e' 是一个 nparray

import numpy as np
import scipy as sp
from scipy.stats.mstats import winsorize

e = np.random.rand(1,100)
print("{}".format(e))
winsorize(e, limits=(0.25,0.25), inplace=True)
print("{}".format(e))

【讨论】：