Moving Window Functions

The lib.moving_funcs submodule contains an assortment of functions for doing moving window calculations such as moving averages, moving standard deviation, moving correlation, moving median, etc.

These functions are implemented in C and are much more efficient than what is possible using a brute force approach in pure Python.

Moving windows

mov_average(data, span[, dtype])
mov_average_expw(data, span[, tol, dtype])
mov_corr(x, y, span[, dtype])
mov_cov(x, y, span[, bias, dtype])
mov_max(data, span[, dtype])
mov_mean(data, span[, dtype])
mov_median(data, span[, dtype])
mov_min(data, span[, dtype])
mov_std(data, span[, dtype, ddof])
mov_sum(data, span[, dtype])
mov_var(data, span[, dtype, ddof])

Centered moving windows

cmov_average(data, span)
cmov_mean(data, span)
cmov_window(data, span, window_type)