python pandas rolling函数在分组数据帧中有两个参数

Question

这是对我之前的问题的某种扩展 python pandas rolling function with two arguments.

如何按组执行相同的操作？假设下面的“C”列用于分组。

我正在努力：

1. 按“C”列分组
2. 在每个组中，按“A”排序
3. 对于每个组，将采用两个参数（如 kendalltau）的滚动函数应用于参数“A”和“B”。

预期的结果将是如下所示的 DataFrame：

我一直在尝试上面链接中描述的“传递索引”解决方法，但是这种情况的复杂性超出了我的技能:-(。这是一个玩具示例，与我正在使用的内容相距不远，所以为了简单起见，我使用了随机生成的数据。

rand = np.random.RandomState(1)
dff = pd.DataFrame({'A' : np.arange(20),
                    'B' : rand.randint(100, 120, 20),
                    'C' : rand.randint(0, 2, 20)})

def my_tau_indx(indx):
    x = dff.iloc[indx, 0]
    y = dff.iloc[indx, 1]
    tau = sp.stats.mstats.kendalltau(x, y)[0]
    return tau

dff['tau'] = dff.sort_values(['C', 'A']).groupby('C').rolling(window = 5).apply(my_tau_indx, args = ([dff.index.values]))

我所做的每一次修复都会产生另一个错误...

上述问题已由 Nickil Maveli 解决，它适用于 numpy 1.11.0、pandas 0.18.1、scipy 0.17.1 和 conda 4.1.4。它会产生一些警告，但可以正常工作。

---

在我的另一台机器上使用最新和最好的 numpy 1.12.0、pandas 0.19.2、scipy 0.18.1、conda 版本 3.10.0 和 BLAS/LAPACK - 它不起作用，我得到下面的回溯。这似乎与版本相关，因为我升级了第一台机器它也停止了工作......以科学的名义......;-)

正如 Nickil 所建议的，这是由于 numpy 1.11 和 1.12 之间的不兼容造成的。降级 numpy 有帮助。由于我在 Windows 上安装了 BLAS/LAPACK，因此我从 http://www.lfd.uci.edu/~gohlke/pythonlibs/ 安装了 numpy 1.11.3+mkl。

Traceback (most recent call last):

File "<ipython-input-4-bbca2c0e986b>", line 16, in <module>
t = grp.apply(func)

File "C:\Apps\Anaconda\v2_1_0_x64\envs\python35\lib\site-packages\pandas\core\groupby.py", line 651, in apply
return self._python_apply_general(f)

File "C:\Apps\Anaconda\v2_1_0_x64\envs\python35\lib\site-packages\pandas\core\groupby.py", line 655, in _python_apply_general
self.axis)

File "C:\Apps\Anaconda\v2_1_0_x64\envs\python35\lib\site-packages\pandas\core\groupby.py", line 1527, in apply
res = f(group)

File "C:\Apps\Anaconda\v2_1_0_x64\envs\python35\lib\site-packages\pandas\core\groupby.py", line 647, in f
return func(g, *args, **kwargs)

File "<ipython-input-4-bbca2c0e986b>", line 15, in <lambda>
func = lambda x: pd.Series(pd.rolling_apply(np.arange(len(x)), 5, my_tau_indx), x.index)

File "C:\Apps\Anaconda\v2_1_0_x64\envs\python35\lib\site-packages\pandas\stats\moments.py", line 584, in rolling_apply
kwargs=kwargs)

File "C:\Apps\Anaconda\v2_1_0_x64\envs\python35\lib\site-packages\pandas\stats\moments.py", line 240, in ensure_compat
result = getattr(r, name)(*args, **kwds)

File "C:\Apps\Anaconda\v2_1_0_x64\envs\python35\lib\site-packages\pandas\core\window.py", line 863, in apply
return super(Rolling, self).apply(func, args=args, kwargs=kwargs)

File "C:\Apps\Anaconda\v2_1_0_x64\envs\python35\lib\site-packages\pandas\core\window.py", line 621, in apply
center=False)

File "C:\Apps\Anaconda\v2_1_0_x64\envs\python35\lib\site-packages\pandas\core\window.py", line 560, in _apply
result = calc(values)

File "C:\Apps\Anaconda\v2_1_0_x64\envs\python35\lib\site-packages\pandas\core\window.py", line 555, in calc
return func(x, window, min_periods=self.min_periods)

File "C:\Apps\Anaconda\v2_1_0_x64\envs\python35\lib\site-packages\pandas\core\window.py", line 618, in f
kwargs)

File "pandas\algos.pyx", line 1831, in pandas.algos.roll_generic (pandas\algos.c:51768)

File "<ipython-input-4-bbca2c0e986b>", line 8, in my_tau_indx
x = dff.iloc[indx, 0]

File "C:\Apps\Anaconda\v2_1_0_x64\envs\python35\lib\site-packages\pandas\core\indexing.py", line 1294, in __getitem__
return self._getitem_tuple(key)

File "C:\Apps\Anaconda\v2_1_0_x64\envs\python35\lib\site-packages\pandas\core\indexing.py", line 1560, in _getitem_tuple
retval = getattr(retval, self.name)._getitem_axis(key, axis=axis)

File "C:\Apps\Anaconda\v2_1_0_x64\envs\python35\lib\site-packages\pandas\core\indexing.py", line 1614, in _getitem_axis
return self._get_loc(key, axis=axis)

File "C:\Apps\Anaconda\v2_1_0_x64\envs\python35\lib\site-packages\pandas\core\indexing.py", line 96, in _get_loc
return self.obj._ixs(key, axis=axis)

File "C:\Apps\Anaconda\v2_1_0_x64\envs\python35\lib\site-packages\pandas\core\frame.py", line 1908, in _ixs
label = self.index[i]

File "C:\Apps\Anaconda\v2_1_0_x64\envs\python35\lib\site-packages\pandas\indexes\range.py", line 510, in __getitem__
return super_getitem(key)

File "C:\Apps\Anaconda\v2_1_0_x64\envs\python35\lib\site-packages\pandas\indexes\base.py", line 1275, in __getitem__
result = getitem(key)

IndexError: only integers, slices (`:`), ellipsis (`...`), numpy.newaxis (`None`) and integer or boolean arrays are valid indices

最后的检查：

Answer 1

实现的一种方法是遍历每个组并在每个这样的组上使用pd.rolling_apply。

import scipy.stats as ss

def my_tau_indx(indx):
    x = dff.iloc[indx, 0]
    y = dff.iloc[indx, 1]
    tau = ss.mstats.kendalltau(x, y)[0]
    return tau

grp = dff.sort_values(['A', 'C']).groupby('C', group_keys=False)
func = lambda x: pd.Series(pd.rolling_apply(np.arange(len(x)), 5, my_tau_indx), x.index)
t = grp.apply(func)
dff.reindex(t.index).assign(tau=t)

---

编辑：

def my_tau_indx(indx):
    x = dff.ix[indx, 0]
    y = dff.ix[indx, 1]
    tau = ss.mstats.kendalltau(x, y)[0]
    return tau

grp = dff.sort_values(['A', 'C']).groupby('C', group_keys=False)
t = grp.rolling(5).apply(my_tau_indx).get('A')

grp.head(dff.shape[0]).reindex(t.index).assign(tau=t)