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from __future__ import annotations
from typing import Any, Generic, Mapping
import numpy as np
from packaging.version import Version
from xarray.core.options import _get_keep_attrs
from xarray.core.pdcompat import count_not_none
from xarray.core.pycompat import is_duck_dask_array
from xarray.core.types import T_DataWithCoords
def _get_alpha(com=None, span=None, halflife=None, alpha=None):
# pandas defines in terms of com (converting to alpha in the algo)
# so use its function to get a com and then convert to alpha
com = _get_center_of_mass(com, span, halflife, alpha)
return 1 / (1 + com)
def move_exp_nanmean(array, *, axis, alpha):
if is_duck_dask_array(array):
raise TypeError("rolling_exp is not currently support for dask-like arrays")
import numbagg
# No longer needed in numbag > 0.2.0; remove in time
if axis == ():
return array.astype(np.float64)
else:
return numbagg.move_exp_nanmean(array, axis=axis, alpha=alpha)
def move_exp_nansum(array, *, axis, alpha):
if is_duck_dask_array(array):
raise TypeError("rolling_exp is not currently supported for dask-like arrays")
import numbagg
# numbagg <= 0.2.0 did not have a __version__ attribute
if Version(getattr(numbagg, "__version__", "0.1.0")) < Version("0.2.0"):
raise ValueError("`rolling_exp(...).sum() requires numbagg>=0.2.1.")
return numbagg.move_exp_nansum(array, axis=axis, alpha=alpha)
def _get_center_of_mass(comass, span, halflife, alpha):
"""
Vendored from pandas.core.window.common._get_center_of_mass
See licenses/PANDAS_LICENSE for the function's license
"""
valid_count = count_not_none(comass, span, halflife, alpha)
if valid_count > 1:
raise ValueError("comass, span, halflife, and alpha are mutually exclusive")
# Convert to center of mass; domain checks ensure 0 < alpha <= 1
if comass is not None:
if comass < 0:
raise ValueError("comass must satisfy: comass >= 0")
elif span is not None:
if span < 1:
raise ValueError("span must satisfy: span >= 1")
comass = (span - 1) / 2.0
elif halflife is not None:
if halflife <= 0:
raise ValueError("halflife must satisfy: halflife > 0")
decay = 1 - np.exp(np.log(0.5) / halflife)
comass = 1 / decay - 1
elif alpha is not None:
if alpha <= 0 or alpha > 1:
raise ValueError("alpha must satisfy: 0 < alpha <= 1")
comass = (1.0 - alpha) / alpha
else:
raise ValueError("Must pass one of comass, span, halflife, or alpha")
return float(comass)
class RollingExp(Generic[T_DataWithCoords]):
"""
Exponentially-weighted moving window object.
Similar to EWM in pandas
Parameters
----------
obj : Dataset or DataArray
Object to window.
windows : mapping of hashable to int (or float for alpha type)
A mapping from the name of the dimension to create the rolling
exponential window along (e.g. `time`) to the size of the moving window.
window_type : {"span", "com", "halflife", "alpha"}, default: "span"
The format of the previously supplied window. Each is a simple
numerical transformation of the others. Described in detail:
https://pandas.pydata.org/pandas-docs/stable/reference/api/pandas.DataFrame.ewm.html
Returns
-------
RollingExp : type of input argument
"""
def __init__(
self,
obj: T_DataWithCoords,
windows: Mapping[Any, int | float],
window_type: str = "span",
):
self.obj: T_DataWithCoords = obj
dim, window = next(iter(windows.items()))
self.dim = dim
self.alpha = _get_alpha(**{window_type: window})
def mean(self, keep_attrs: bool | None = None) -> T_DataWithCoords:
"""
Exponentially weighted moving average.
Parameters
----------
keep_attrs : bool, default: None
If True, the attributes (``attrs``) will be copied from the original
object to the new one. If False, the new object will be returned
without attributes. If None uses the global default.
Examples
--------
>>> da = xr.DataArray([1, 1, 2, 2, 2], dims="x")
>>> da.rolling_exp(x=2, window_type="span").mean()
<xarray.DataArray (x: 5)>
array([1. , 1. , 1.69230769, 1.9 , 1.96694215])
Dimensions without coordinates: x
"""
if keep_attrs is None:
keep_attrs = _get_keep_attrs(default=True)
return self.obj.reduce(
move_exp_nanmean, dim=self.dim, alpha=self.alpha, keep_attrs=keep_attrs
)
def sum(self, keep_attrs: bool | None = None) -> T_DataWithCoords:
"""
Exponentially weighted moving sum.
Parameters
----------
keep_attrs : bool, default: None
If True, the attributes (``attrs``) will be copied from the original
object to the new one. If False, the new object will be returned
without attributes. If None uses the global default.
Examples
--------
>>> da = xr.DataArray([1, 1, 2, 2, 2], dims="x")
>>> da.rolling_exp(x=2, window_type="span").sum()
<xarray.DataArray (x: 5)>
array([1. , 1.33333333, 2.44444444, 2.81481481, 2.9382716 ])
Dimensions without coordinates: x
"""
if keep_attrs is None:
keep_attrs = _get_keep_attrs(default=True)
return self.obj.reduce(
move_exp_nansum, dim=self.dim, alpha=self.alpha, keep_attrs=keep_attrs
)
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