I would like to compute a rolling Z-score for one of my columns in my dataframe:
import pandas as pd
values = [1,2,3,4,5]
d1= {'vol': values}
df= pd.DataFrame(d1)
Is there a way of doing this similar to this:
df['mean'] = df.rolling(2).mean()
Maybe with:
from scipy import stats
stats.zscore(df)
EDIT : Found this approach in a similar post:
def zscore_func(x):
return (x[-1] - x[:-1].mean())/x[:-1].std(ddof=0)
df.rolling(window=3).apply(zscore_func)
window = 2
target_column = 'vol'
roll = df[target_column].rolling(window)
df['z-score'] = (df[target_column] - roll.mean()) / roll.std()
Here is one solution by for loop
n=2
[np.nan]*n+[stats.zscore(df.iloc[x:x+n,0]) for x in range(0,len(df)-n)]
[nan, nan, array([-1., 1.]), array([-1., 1.]), array([-1., 1.])]
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