Module: Daru::Maths::Statistics::DataFrame

Included in:
DataFrame
Defined in:
lib/daru/maths/statistics/dataframe.rb

Instance Method Summary collapse

Instance Method Details

#acf ⇒ Object

Calculate Autocorrelation coefficient

Parameters:

  • max_lags (Integer) —

    (nil) Number of initial lags



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# File 'lib/daru/maths/statistics/dataframe.rb', line 73

[
  :cumsum,:standardize,:acf,:ema,:rolling_mean,:rolling_median,:rolling_max,
  :rolling_min,:rolling_count,:rolling_std,:rolling_variance, :rolling_sum
].each do |meth|
  define_method(meth) do |*args|
    apply_method_to_numerics meth, *args
  end
end

#correlation ⇒ Object Also known as: corr

Calculate the correlation between the numeric vectors.



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# File 'lib/daru/maths/statistics/dataframe.rb', line 156

def correlation
  standard_deviation = std.to_matrix
  corr_arry = cov
              .to_matrix
              .elementwise_division(standard_deviation.transpose *
    standard_deviation).to_a

  Daru::DataFrame.rows(corr_arry, index: numeric_vectors, order: numeric_vectors)
end

#count ⇒ Object

Count the number of non-nil values in each vector



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# File 'lib/daru/maths/statistics/dataframe.rb', line 25

[:mean, :variance_sample, :range, :median, :mode, :std, :sum, :count, :min, :product].each do |meth|
  define_method(meth) do
    compute_stats meth
  end
end

#covariance ⇒ Object Also known as: cov

Calculate sample variance-covariance between the numeric vectors.



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# File 'lib/daru/maths/statistics/dataframe.rb', line 134

def covariance
  cache = Hash.new do |h, (col, row)|
    h[[col, row]] = vector_cov(self[row],self[col])
  end
  vectors = numeric_vectors

  mat_rows = vectors.collect do |row|
    vectors.collect do |col|
      if row == col
        self[row].variance
      else
        cache[[col,row]]
      end
    end
  end

  Daru::DataFrame.rows(mat_rows, index: numeric_vectors, order: numeric_vectors)
end

#cumsum ⇒ Object

Calculate cumulative sum of each numeric Vector



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# File 'lib/daru/maths/statistics/dataframe.rb', line 73

[
  :cumsum,:standardize,:acf,:ema,:rolling_mean,:rolling_median,:rolling_max,
  :rolling_min,:rolling_count,:rolling_std,:rolling_variance, :rolling_sum
].each do |meth|
  define_method(meth) do |*args|
    apply_method_to_numerics meth, *args
  end
end

#describe(methods = nil) ⇒ Object

Create a summary of mean, standard deviation, count, max and min of each numeric vector in the dataframe in one shot.

Arguments

methods - An array with aggregation methods specified as symbols to be applied to numeric vectors. Default is [:count, :mean, :std, :max, :min]. Methods will be applied in the specified order.



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# File 'lib/daru/maths/statistics/dataframe.rb', line 90

def describe methods=nil
  methods ||= [:count, :mean, :std, :min, :max]

  description_hash = {}
  numeric_vectors.each do |vec|
    description_hash[vec] = methods.map { |m| self[vec].send(m) }
  end
  Daru::DataFrame.new(description_hash, index: methods)
end

#ema ⇒ Object

Calculate exponential moving average.

Parameters:

  • n (Integer) —

    (10) Loopback length.

  • wilder (TrueClass, FalseClass, NilClass) —

    (false) If true, 1/n value is used for smoothing; if false, uses 2/(n+1) value.



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# File 'lib/daru/maths/statistics/dataframe.rb', line 73

[
  :cumsum,:standardize,:acf,:ema,:rolling_mean,:rolling_median,:rolling_max,
  :rolling_min,:rolling_count,:rolling_std,:rolling_variance, :rolling_sum
].each do |meth|
  define_method(meth) do |*args|
    apply_method_to_numerics meth, *args
  end
end

#max(opts = {}) ⇒ Object

Calculate the maximum value of each numeric vector.



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# File 'lib/daru/maths/statistics/dataframe.rb', line 32

def max opts={}
  if opts[:vector]
    row[*self[opts[:vector]].max_index.index.to_a]
  else
    compute_stats :max
  end
end

#mean ⇒ Object

Calculate mean of numeric vectors



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# File 'lib/daru/maths/statistics/dataframe.rb', line 25

[:mean, :variance_sample, :range, :median, :mode, :std, :sum, :count, :min, :product].each do |meth|
  define_method(meth) do
    compute_stats meth
  end
end

#median ⇒ Object

Calculate median of numeric vectors



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# File 'lib/daru/maths/statistics/dataframe.rb', line 25

[:mean, :variance_sample, :range, :median, :mode, :std, :sum, :count, :min, :product].each do |meth|
  define_method(meth) do
    compute_stats meth
  end
end

#min ⇒ Object

Calculate the minimum value of each numeric vector



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# File 'lib/daru/maths/statistics/dataframe.rb', line 25

[:mean, :variance_sample, :range, :median, :mode, :std, :sum, :count, :min, :product].each do |meth|
  define_method(meth) do
    compute_stats meth
  end
end

#mode ⇒ Object

Calculate mode of numeric vectors



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# File 'lib/daru/maths/statistics/dataframe.rb', line 25

[:mean, :variance_sample, :range, :median, :mode, :std, :sum, :count, :min, :product].each do |meth|
  define_method(meth) do
    compute_stats meth
  end
end

#percent_change(periods = 1) ⇒ Object

The percent_change method computes the percent change over the given number of periods for numeric vectors.

Examples:


df = Daru::DataFrame.new({
     'col0' => [1,2,3,4,5,6],
     'col2' => ['a','b','c','d','e','f'],
     'col1' => [11,22,33,44,55,66]
     },
     index: ['one', 'two', 'three', 'four', 'five', 'six'],
     order: ['col0', 'col1', 'col2'])
df.percent_change
#=>
#   <Daru::DataFrame:23513280 @rows: 6 @cols: 2>
#              col0                col1
#   one
#   two	   1.0	               1.0
#   three	   0.5                 0.5
#   four	   0.3333333333333333  0.3333333333333333
#   five       0.25                0.25
#   six        0.2                 0.2

Parameters:

  • periods (Integer) (defaults to: 1) —

    (1) number of nils to insert at the beginning.



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# File 'lib/daru/maths/statistics/dataframe.rb', line 124

def percent_change periods=1
  df_numeric = only_numerics.vectors.to_a
  df = Daru::DataFrame.new({}, order: @order, index: @index, name: @name)
  df_numeric.each do |vec|
    df[vec] = self[vec].percent_change periods
  end
  df
end

#product ⇒ Object

Compute the product of each numeric vector



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# File 'lib/daru/maths/statistics/dataframe.rb', line 25

[:mean, :variance_sample, :range, :median, :mode, :std, :sum, :count, :min, :product].each do |meth|
  define_method(meth) do
    compute_stats meth
  end
end

#range ⇒ Object

Calculate range of numeric vectors



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# File 'lib/daru/maths/statistics/dataframe.rb', line 25

[:mean, :variance_sample, :range, :median, :mode, :std, :sum, :count, :min, :product].each do |meth|
  define_method(meth) do
    compute_stats meth
  end
end

#rolling_count ⇒ Object

Calculate moving non-missing count

Parameters:

  • n (Integer) —

    (10) Loopback length. Default to 10.



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# File 'lib/daru/maths/statistics/dataframe.rb', line 73

[
  :cumsum,:standardize,:acf,:ema,:rolling_mean,:rolling_median,:rolling_max,
  :rolling_min,:rolling_count,:rolling_std,:rolling_variance, :rolling_sum
].each do |meth|
  define_method(meth) do |*args|
    apply_method_to_numerics meth, *args
  end
end

#rolling_max ⇒ Object

Calculate moving max

Parameters:

  • n (Integer) —

    (10) Loopback length. Default to 10.



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# File 'lib/daru/maths/statistics/dataframe.rb', line 73

[
  :cumsum,:standardize,:acf,:ema,:rolling_mean,:rolling_median,:rolling_max,
  :rolling_min,:rolling_count,:rolling_std,:rolling_variance, :rolling_sum
].each do |meth|
  define_method(meth) do |*args|
    apply_method_to_numerics meth, *args
  end
end

#rolling_mean ⇒ Object

Calculate moving averages

Parameters:

  • n (Integer) —

    (10) Loopback length. Default to 10.



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# File 'lib/daru/maths/statistics/dataframe.rb', line 73

[
  :cumsum,:standardize,:acf,:ema,:rolling_mean,:rolling_median,:rolling_max,
  :rolling_min,:rolling_count,:rolling_std,:rolling_variance, :rolling_sum
].each do |meth|
  define_method(meth) do |*args|
    apply_method_to_numerics meth, *args
  end
end

#rolling_median ⇒ Object

Calculate moving median

Parameters:

  • n (Integer) —

    (10) Loopback length. Default to 10.



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# File 'lib/daru/maths/statistics/dataframe.rb', line 73

[
  :cumsum,:standardize,:acf,:ema,:rolling_mean,:rolling_median,:rolling_max,
  :rolling_min,:rolling_count,:rolling_std,:rolling_variance, :rolling_sum
].each do |meth|
  define_method(meth) do |*args|
    apply_method_to_numerics meth, *args
  end
end

#rolling_min ⇒ Object

Calculate moving min

Parameters:

  • n (Integer) —

    (10) Loopback length. Default to 10.



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# File 'lib/daru/maths/statistics/dataframe.rb', line 73

[
  :cumsum,:standardize,:acf,:ema,:rolling_mean,:rolling_median,:rolling_max,
  :rolling_min,:rolling_count,:rolling_std,:rolling_variance, :rolling_sum
].each do |meth|
  define_method(meth) do |*args|
    apply_method_to_numerics meth, *args
  end
end

#rolling_std ⇒ Object

Calculate moving standard deviation

Parameters:

  • n (Integer) —

    (10) Loopback length. Default to 10.



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# File 'lib/daru/maths/statistics/dataframe.rb', line 73

[
  :cumsum,:standardize,:acf,:ema,:rolling_mean,:rolling_median,:rolling_max,
  :rolling_min,:rolling_count,:rolling_std,:rolling_variance, :rolling_sum
].each do |meth|
  define_method(meth) do |*args|
    apply_method_to_numerics meth, *args
  end
end

#rolling_variance ⇒ Object

Calculate moving variance

Parameters:

  • n (Integer) —

    (10) Loopback length. Default to 10.



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# File 'lib/daru/maths/statistics/dataframe.rb', line 73

[
  :cumsum,:standardize,:acf,:ema,:rolling_mean,:rolling_median,:rolling_max,
  :rolling_min,:rolling_count,:rolling_std,:rolling_variance, :rolling_sum
].each do |meth|
  define_method(meth) do |*args|
    apply_method_to_numerics meth, *args
  end
end

#standardize ⇒ Object

Standardize each Vector



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# File 'lib/daru/maths/statistics/dataframe.rb', line 73

[
  :cumsum,:standardize,:acf,:ema,:rolling_mean,:rolling_median,:rolling_max,
  :rolling_min,:rolling_count,:rolling_std,:rolling_variance, :rolling_sum
].each do |meth|
  define_method(meth) do |*args|
    apply_method_to_numerics meth, *args
  end
end

#std ⇒ Object Also known as: sds

Calculate sample standard deviation of numeric vectors



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# File 'lib/daru/maths/statistics/dataframe.rb', line 25

[:mean, :variance_sample, :range, :median, :mode, :std, :sum, :count, :min, :product].each do |meth|
  define_method(meth) do
    compute_stats meth
  end
end

#sum ⇒ Object

Calculate sum of numeric vectors



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# File 'lib/daru/maths/statistics/dataframe.rb', line 25

[:mean, :variance_sample, :range, :median, :mode, :std, :sum, :count, :min, :product].each do |meth|
  define_method(meth) do
    compute_stats meth
  end
end

#variance_sample ⇒ Object Also known as: variance

Calculate sample variance of numeric vectors



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# File 'lib/daru/maths/statistics/dataframe.rb', line 25

[:mean, :variance_sample, :range, :median, :mode, :std, :sum, :count, :min, :product].each do |meth|
  define_method(meth) do
    compute_stats meth
  end
end