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I am trying to calculate the percentile rank of data by column within a rolling window.
test=pd.DataFrame(np.random.randn(20,3),pd.date_range('1/1/2000',periods=20),['A','B','C'])
test
Out[111]:
A B C
2000-01-01 -0.566992 -1.494799 0.462330
2000-01-02 -0.550769 -0.699104 0.767778
2000-01-03 -0.270597 0.060836 0.057195
2000-01-04 -0.583784 -0.546418 -0.557850
2000-01-05 0.294073 -2.326211 0.262098
2000-01-06 -1.122543 -0.116279 -0.003088
2000-01-07 0.121387 0.763100 3.503757
2000-01-08 0.335564 0.076304 2.021757
2000-01-09 0.403170 0.108256 0.680739
2000-01-10 -0.254558 -0.497909 -0.454181
2000-01-11 0.167347 0.459264 -1.247459
2000-01-12 -1.243778 0.858444 0.338056
2000-01-13 -1.070655 0.924808 0.080867
2000-01-14 -1.175651 -0.559712 -0.372584
2000-01-15 -0.216708 -0.116188 0.511223
2000-01-16 0.597171 0.205529 -0.728783
2000-01-17 -0.624469 0.592436 0.832100
2000-01-18 0.259269 0.665585 0.126534
2000-01-19 1.150804 0.575759 -1.335835
2000-01-20 -0.909525 0.500366 2.120933
I tried to use .rolling with .apply but I am missing something.
pctrank = lambda x: x.rank(pct=True)
rollingrank=test.rolling(window=10,centre=False).apply(pctrank)
For column A the final value would be the percentile rank of -0.909525 within the length=10 window from 2000-01-11 to 2000-01-20. Any ideas?
990
We will use the rank() function with the argument pct = True to find the percentile rank.
By default, Pandas will use a parameter of q=0.5 , which will generate the 50th percentile.
groupby('Category'). field_A. quantile(0.1) . That will return the 10th percentile for each group of Category .
A moving average, also called a rolling or running average, is used to analyze the time-series data by calculating averages of different subsets of the complete dataset. Since it involves taking the average of the dataset over time, it is also called a moving mean (MM) or rolling mean.
The easiest option would be to do something like this:
from scipy import stats
# 200 is the window size
dataset[name] = dataset[name].rolling(200).apply(lambda x: stats.percentileofscore(x, x[-1]))
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