Numpy 滚动列相关

Question

我有两个形状相同的矩阵：

import numpy as np
from scipy.stats import pearsonr
np.random.seed(10)
a = np.random.random(30).reshape(10,3)
b = np.random.random(30).reshape(10,3)

即 10 行和 3 列。我需要每个矩阵中具有相同列索引的列的 rolling 相关性。慢的方式是：

def roll_corr((a, b), window):
    out = np.ones_like(a)*np.nan
    for i in xrange(window-1, a.shape[0]):
        #print "%d --> %d" % ((i-(window-1)), i)
        for j in xrange(a.shape[1]):
            out[i, j] = pearsonr(
                a[(i-(window-1)):(i), j], b[(i-(window-1)):(i), j]
            )[0]
    return out

roll_corr((a, b), 5) 的结果如我所愿，

array([[        nan,         nan,         nan],
       [        nan,         nan,         nan],
       [        nan,         nan,         nan],
       [        nan,         nan,         nan],
       [ 0.28810753,  0.27836622,  0.88397851],
       [-0.04076151,  0.45254981,  0.83259104],
       [ 0.62262963, -0.4188768 ,  0.35479134],
       [ 0.13130652, -0.91441413, -0.21713372],
       [ 0.54327228, -0.91390053, -0.84033286],
       [ 0.45268257, -0.95245888, -0.50107515]])

问题是：是否有更惯用的 numpy 方法来做到这一点？矢量化？大步走技巧？ Numba?

我已经搜索过了，但没有找到这个。我不想使用 pandas;必须是麻木的。

Answer 1

我们可以利用 np.lib.stride_tricks.as_strided based scikit-image's view_as_windows to get sliding windows.

因此，我们将有一个基于 corr2_coeff_rowwise 的解决方案，就像这样 -

from skimage.util import view_as_windows

A = view_as_windows(a,(window,1))[...,0]
B = view_as_windows(b,(window,1))[...,0]

A_mA = A - A.mean(-1, keepdims=True)
B_mB = B - B.mean(-1, keepdims=True)

## Sum of squares across rows
ssA = (A_mA**2).sum(-1) # or better : np.einsum('ijk,ijk->ij',A_mA,A_mA)
ssB = (B_mB**2).sum(-1) # or better : np.einsum('ijk,ijk->ij',B_mB,B_mB)

## Finally get corr coeff
out = np.full(a.shape, np.nan)
out[window-1:] = np.einsum('ijk,ijk->ij',A_mA,B_mB)/np.sqrt(ssA*ssB)

Answer 2

您可以使用 pandas.rolling_curr() 函数生成相关性。不过，我不明白为什么它们会给出不同的输出。

import numpy as np
import pandas as pd
from scipy.stats import pearsonr

np.random.seed(10)
a = np.random.random(30).reshape(10,3)
b = np.random.random(30).reshape(10,3)

a_1 = pd.DataFrame(a)
b_1 = pd.DataFrame(b)

print pd.rolling_corr(arg1=a_1, arg2=b_1, window=5)

# OUTPUT
===============================
   0         1         2
0  NaN       NaN       NaN 
1  NaN       NaN       NaN
2  NaN       NaN       NaN
3  NaN       NaN       NaN
4  0.441993  0.254435  0.707801 
5  0.314446  0.233392  0.425191
6  0.243755 -0.441434  0.352801
7  0.281139 -0.864357 -0.192409
8  0.543645 -0.925822 -0.563786
9  0.445918 -0.784808 -0.532234

Numpy 滚动列相关

Numpy Rolling Columwise Correlation

python

numpy

scipy

numba