I have a data set of timestamps & values in pandas. The interval between timestamps is ~12 seconds over a total timespan of roughly one year but sometimes there are missing points (ie, the time series is irregular so I can't use fixed window sizes).
I want to compute the rolling averages of the values over 1 minute intervals but I'm not getting the behavior that I expected. I found a similar issue here but that was using the sum and also pre-pandas 0.19.0. I am using Pandas 0.23.4.
Sample Data
Time, X
2018-02-02 21:27:00, 75.4356
2018-02-02 21:27:12, 78.29821
2018-02-02 21:27:24, 73.098345
2018-02-02 21:27:36, 78.3331
2018-02-02 21:28:00, 79.111
Note that 2018-02-02 21:27:48
is missing.
For a rolling sum, I could just fill the missing values with 0s but for the mean, I don't want the missing points being counted as real data points (for example, I want the window to be sum(data points over given interval) / number of data points in interval).
I'd like to do it for varying segments of time (ie, 1min, 5min, 15min, 1hr, etc).
The closest I got to getting actual values was to do:
Code
df['rolling_avg']=df.rolling('1T',on='Time').X.mean()
My understanding is that would be the 1 minute rolling averages.
But then, I'm not sure how to interpret the output. I would have expected NaNs for the first 1+1 minute since there is nothing to base the rolled average on but instead I have values.
Output
Time X rolling_avg
0 2018-02-02 21:27:00 75.4356 75.435600
1 2018-02-02 21:27:12 78.29821 76.866905
2 2018-02-02 21:27:24 73.098345 75.610718
3 2018-02-02 21:27:36 78.3331 76.291314
4 2018-02-02 21:28:00 79.111 77.210164
Basically, in this output, df[1].rolling_avg
is (Value[0]+Value[1])/2
, though the interval was 12 seconds, not 1 minute.
Is there a way to do what I am trying to do or do I need to write a for-loop to do this manually?
I think the problem might be in your data. And then maybe I'm not solving the problem. I got the same error using your data, but it worked when I tried this.
import pandas as pd
import numpy as np
import datetime
time = pd.date_range(start='1/1/2018', end='1/02/2018', freq='12s')
time
DatetimeIndex(['2018-01-01 00:00:00', '2018-01-01 00:00:12',
'2018-01-01 00:00:24', '2018-01-01 00:00:36',
'2018-01-01 00:00:48', '2018-01-01 00:01:00',
'2018-01-01 00:01:12', '2018-01-01 00:01:24',
'2018-01-01 00:01:36', '2018-01-01 00:01:48',
...
'2018-01-01 23:58:12', '2018-01-01 23:58:24',
'2018-01-01 23:58:36', '2018-01-01 23:58:48',
'2018-01-01 23:59:00', '2018-01-01 23:59:12',
'2018-01-01 23:59:24', '2018-01-01 23:59:36',
'2018-01-01 23:59:48', '2018-01-02 00:00:00'],
dtype='datetime64[ns]', length=7201, freq='12S')
B = np.random.randint(0, 9, 7201)
df = pd.DataFrame(B, time)
df['rolling_avg']=df.rolling('60s', min_periods=3).mean()
df.head(20)
0 rolling_avg
2018-01-01 00:00:00 5 NaN
2018-01-01 00:00:12 0 NaN
2018-01-01 00:00:24 1 2.0
2018-01-01 00:00:36 0 1.5
2018-01-01 00:00:48 6 2.4
2018-01-01 00:01:00 7 2.8
2018-01-01 00:01:12 6 4.0
2018-01-01 00:01:24 3 4.4
2018-01-01 00:01:36 7 5.8
2018-01-01 00:01:48 6 5.8
2018-01-01 00:02:00 2 4.8
2018-01-01 00:02:12 6 4.8
2018-01-01 00:02:24 1 4.4
2018-01-01 00:02:36 0 3.0
2018-01-01 00:02:48 8 3.4
2018-01-01 00:03:00 2 3.4
2018-01-01 00:03:12 5 3.2
2018-01-01 00:03:24 8 4.6
2018-01-01 00:03:36 4 5.4
2018-01-01 00:03:48 1 4.0
You say: But then, I'm not sure how to interpret the output. I would have expected NaNs for the first 1+1 minute since there is nothing to base the rolled average on but instead I have values.
The method .rolling()
takes all values into account where the index is in a 1-minute interval. The interval is ( by default, but you can change this; use the optional parameter closed
) open to the left and closed to the right. Its right end is the current index ( you can change this,too; use the optional parameter center
).
In your case, the first such interval is ] 2018-02-02 21:26:00
, 2018-02-02 21:27:00
], which contains only the index 2018-02-02 21:27:00
. Therefore the mean is computed over only one value.
I hope this sounds senseful to you.
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