Pandas: Series - ewm() function
Exponential weighted functions in Pandas
The ewm() function is used to provide exponential weighted functions.
Syntax:
Series.ewm(self, com=None, span=None, halflife=None, alpha=None, min_periods=0, adjust=True, ignore_na=False, axis=0)
Parameters:
Name | Description | Type/Default Value | Required / Optional |
---|---|---|---|
com | Specify decay in terms of center of mass, α=1/(1+com), for com≥0. | float | Optional |
span | Specify decay in terms of span, α=2/(span+1), for span≥1. | float | Optional |
halflife | Specify decay in terms of half-life, α=1−exp(log(0.5)/halflife),forhalflife>0. | float | Optional |
alpha | Specify smoothing factor α directly, 0<α≤1 | float | Optional |
min_periods | Minimum number of observations in window required to have a value (otherwise result is NA). | int Default Value: 0 |
Required |
adjust | Divide by decaying adjustment factor in beginning periods to account for imbalance in relative weightings (viewing EWMA as a moving average) | bool Default Value: True |
Required |
ignore_na | Ignore missing values when calculating weights; specify True to reproduce pre-0.15.0 behavior. | bool Default Value: False |
Required |
axis | The axis to use. The value 0 identifies the rows, and 1 identifies the columns. | {0 or ‘index’, 1 or ‘columns’} Default Value: 0 |
Required |
Returns: DataFrame
A Window sub-classed for the particular operation.
Notes: Exactly one of center of mass, span, half-life, and alpha must be provided. Allowed values and relationship between the parameters are specified in the parameter descriptions above; see the link at the end of this section for a detailed explanation.
When adjust is True (default), weighted averages are calculated using weights (1-alpha)**(n-1), (1-alpha)**(n-2), …, 1-alpha, 1.
When adjust is False, weighted averages are calculated recursively as:
weighted_average[0] = arg[0]; weighted_average[i] = (1-alpha)*weighted_average[i-1] + alpha*arg[i].
When ignore_na is False (default), weights are based on absolute positions. For example, the weights of x and y used in calculating the final weighted average of [x, None, y] are (1-alpha)**2 and 1 (if adjust is True), and (1-alpha)**2 and alpha (if adjust is False).
When ignore_na is True (reproducing pre-0.15.0 behavior), weights are based on relative positions. For example, the weights of x and y used in calculating the final weighted average of [x, None, y] are 1-alpha and 1 (if adjust is True), and 1-alpha and alpha (if adjust is False).
Example:
Python-Pandas Code:
import numpy as np
import pandas as pd
df = pd.DataFrame({'Q': [0, 2, 4, np.nan, 6]})
df
Output:
Q 0 0.0 1 2.0 2 4.0 3 NaN 4 6.0
Python-Pandas Code:
import numpy as np
import pandas as pd
df = pd.DataFrame({'Q': [0, 2, 4, np.nan, 6]})
df.ewm(com=0.3).mean()
Output:
Q 0 0.000000 1 1.625000 2 3.474654 3 3.474654 4 5.838369
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https://w3resource.com/pandas/series/series-ewm.php
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