import numpy as np
import pandas as pd
from woodwork.column_schema import ColumnSchema
from woodwork.logical_types import Datetime, Double
from featuretools.primitives.base.transform_primitive_base import (
TransformPrimitive
)
from featuretools.primitives.utils import (
_apply_roll_with_offset_gap,
_roll_series_with_gap
)
[docs]class RollingMax(TransformPrimitive):
"""Determines the maximum of entries over a given window.
Description:
Given a list of numbers and a corresponding list of
datetimes, return a rolling maximum of the numeric values,
starting at the row `gap` rows away from the current row and looking backward
over the specified window (by `window_length` and `gap`).
Input datetimes should be monotonic.
Args:
window_length (int, string, optional): Specifies the amount of data included in each window.
If an integer is provided, will correspond to a number of rows. For data with a uniform sampling frequency,
for example of one day, the window_length will correspond to a period of time, in this case,
7 days for a window_length of 7.
If a string is provided, it must be one of pandas' offset alias strings ('1D', '1H', etc),
and it will indicate a length of time that each window should span.
The list of available offset aliases, can be found at
https://pandas.pydata.org/pandas-docs/stable/user_guide/timeseries.html#offset-aliases.
Defaults to 3.
gap (int, string, optional): Specifies a gap backwards from each instance before the
window of usable data begins. If an integer is provided, will correspond to a number of rows.
If a string is provided, it must be one of pandas' offset alias strings ('1D', '1H', etc),
and it will indicate a length of time between a target instance and the beginning of its window.
Defaults to 0, which will include the target instance in the window.
min_periods (int, optional): Minimum number of observations required for performing calculations
over the window. Can only be as large as window_length when window_length is an integer.
When window_length is an offset alias string, this limitation does not exist, but care should be taken
to not choose a min_periods that will always be larger than the number of observations in a window.
Defaults to 1.
Note:
Only offset aliases with fixed frequencies can be used when defining gap and window_length.
This means that aliases such as `M` or `W` cannot be used, as they can indicate different
numbers of days. ('M', because different months are different numbers of days;
'W' because week will indicate a certain day of the week, like W-Wed, so that will
indicate a different number of days depending on the anchoring date.)
Note:
When using an offset alias to define `gap`, an offset alias must also be used to define `window_length`.
This limitation does not exist when using an offset alias to define `window_length`. In fact,
if the data has a uniform sampling frequency, it is preferable to use a numeric `gap` as it is more
efficient.
Examples:
>>> import pandas as pd
>>> rolling_max = RollingMax(window_length=3)
>>> times = pd.date_range(start='2019-01-01', freq='1min', periods=5)
>>> rolling_max(times, [4, 3, 2, 1, 0]).tolist()
[4.0, 4.0, 4.0, 3.0, 2.0]
We can also control the gap before the rolling calculation.
>>> import pandas as pd
>>> rolling_max = RollingMax(window_length=3, gap=1)
>>> times = pd.date_range(start='2019-01-01', freq='1min', periods=5)
>>> rolling_max(times, [4, 3, 2, 1, 0]).tolist()
[nan, 4.0, 4.0, 4.0, 3.0]
We can also control the minimum number of periods required for the rolling calculation.
>>> import pandas as pd
>>> rolling_max = RollingMax(window_length=3, min_periods=3)
>>> times = pd.date_range(start='2019-01-01', freq='1min', periods=5)
>>> rolling_max(times, [4, 3, 2, 1, 0]).tolist()
[nan, nan, 4.0, 3.0, 2.0]
We can also set the window_length and gap using offset alias strings.
>>> import pandas as pd
>>> rolling_max = RollingMax(window_length='3min', gap='1min')
>>> times = pd.date_range(start='2019-01-01', freq='1min', periods=5)
>>> rolling_max(times, [4, 3, 2, 1, 0]).tolist()
[nan, 4.0, 4.0, 4.0, 3.0]
"""
name = "rolling_max"
input_types = [ColumnSchema(logical_type=Datetime, semantic_tags={'time_index'}), ColumnSchema(semantic_tags={'numeric'})]
return_type = ColumnSchema(logical_type=Double, semantic_tags={'numeric'})
[docs] def __init__(self, window_length=3, gap=0, min_periods=1):
self.window_length = window_length
self.gap = gap
self.min_periods = min_periods
def get_function(self):
def rolling_max(datetime, numeric):
x = pd.Series(numeric.values, index=datetime.values)
rolled_series = _roll_series_with_gap(x,
self.window_length,
gap=self.gap,
min_periods=self.min_periods)
if isinstance(self.gap, str):
additional_args = (self.gap, max, self.min_periods)
return rolled_series.apply(_apply_roll_with_offset_gap, args=additional_args).values
return rolled_series.max().values
return rolling_max
[docs]class RollingMin(TransformPrimitive):
"""Determines the minimum of entries over a given window.
Description:
Given a list of numbers and a corresponding list of
datetimes, return a rolling minimum of the numeric values,
starting at the row `gap` rows away from the current row and looking backward
over the specified window (by `window_length` and `gap`).
Input datetimes should be monotonic.
Args:
window_length (int, string, optional): Specifies the amount of data included in each window.
If an integer is provided, will correspond to a number of rows. For data with a uniform sampling frequency,
for example of one day, the window_length will correspond to a period of time, in this case,
7 days for a window_length of 7.
If a string is provided, it must be one of pandas' offset alias strings ('1D', '1H', etc),
and it will indicate a length of time that each window should span.
The list of available offset aliases, can be found at
https://pandas.pydata.org/pandas-docs/stable/user_guide/timeseries.html#offset-aliases.
Defaults to 3.
gap (int, string, optional): Specifies a gap backwards from each instance before the
window of usable data begins. If an integer is provided, will correspond to a number of rows.
If a string is provided, it must be one of pandas' offset alias strings ('1D', '1H', etc),
and it will indicate a length of time between a target instance and the beginning of its window.
Defaults to 0, which will include the target instance in the window.
min_periods (int, optional): Minimum number of observations required for performing calculations
over the window. Can only be as large as window_length when window_length is an integer.
When window_length is an offset alias string, this limitation does not exist, but care should be taken
to not choose a min_periods that will always be larger than the number of observations in a window.
Defaults to 1.
Note:
Only offset aliases with fixed frequencies can be used when defining gap and window_length.
This means that aliases such as `M` or `W` cannot be used, as they can indicate different
numbers of days. ('M', because different months are different numbers of days;
'W' because week will indicate a certain day of the week, like W-Wed, so that will
indicate a different number of days depending on the anchoring date.)
Note:
When using an offset alias to define `gap`, an offset alias must also be used to define `window_length`.
This limitation does not exist when using an offset alias to define `window_length`. In fact,
if the data has a uniform sampling frequency, it is preferable to use a numeric `gap` as it is more
efficient.
Examples:
>>> import pandas as pd
>>> rolling_min = RollingMin(window_length=3)
>>> times = pd.date_range(start='2019-01-01', freq='1min', periods=5)
>>> rolling_min(times, [4, 3, 2, 1, 0]).tolist()
[4.0, 3.0, 2.0, 1.0, 0.0]
We can also control the gap before the rolling calculation.
>>> import pandas as pd
>>> rolling_min = RollingMin(window_length=3, gap=1)
>>> times = pd.date_range(start='2019-01-01', freq='1min', periods=5)
>>> rolling_min(times, [4, 3, 2, 1, 0]).tolist()
[nan, 4.0, 3.0, 2.0, 1.0]
We can also control the minimum number of periods required for the rolling calculation.
>>> import pandas as pd
>>> rolling_min = RollingMin(window_length=3, min_periods=3)
>>> times = pd.date_range(start='2019-01-01', freq='1min', periods=5)
>>> rolling_min(times, [4, 3, 2, 1, 0]).tolist()
[nan, nan, 2.0, 1.0, 0.0]
We can also set the window_length and gap using offset alias strings.
>>> import pandas as pd
>>> rolling_min = RollingMin(window_length='3min', gap='1min')
>>> times = pd.date_range(start='2019-01-01', freq='1min', periods=5)
>>> rolling_min(times, [4, 3, 2, 1, 0]).tolist()
[nan, 4.0, 3.0, 2.0, 1.0]
"""
name = "rolling_min"
input_types = [ColumnSchema(logical_type=Datetime, semantic_tags={'time_index'}), ColumnSchema(semantic_tags={'numeric'})]
return_type = ColumnSchema(logical_type=Double, semantic_tags={'numeric'})
[docs] def __init__(self, window_length=3, gap=0, min_periods=1):
self.window_length = window_length
self.gap = gap
self.min_periods = min_periods
def get_function(self):
def rolling_min(datetime, numeric):
x = pd.Series(numeric.values, index=datetime.values)
rolled_series = _roll_series_with_gap(x,
self.window_length,
gap=self.gap,
min_periods=self.min_periods)
if isinstance(self.gap, str):
additional_args = (self.gap, min, self.min_periods)
return rolled_series.apply(_apply_roll_with_offset_gap, args=additional_args).values
return rolled_series.min().values
return rolling_min
[docs]class RollingMean(TransformPrimitive):
"""Calculates the mean of entries over a given window.
Description:
Given a list of numbers and a corresponding list of
datetimes, return a rolling mean of the numeric values,
starting at the row `gap` rows away from the current row and looking backward
over the specified time window (by `window_length` and `gap`).
Input datetimes should be monotonic.
Args:
window_length (int, string, optional): Specifies the amount of data included in each window.
If an integer is provided, will correspond to a number of rows. For data with a uniform sampling frequency,
for example of one day, the window_length will correspond to a period of time, in this case,
7 days for a window_length of 7.
If a string is provided, it must be one of pandas' offset alias strings ('1D', '1H', etc),
and it will indicate a length of time that each window should span.
The list of available offset aliases, can be found at
https://pandas.pydata.org/pandas-docs/stable/user_guide/timeseries.html#offset-aliases.
Defaults to 3.
gap (int, string, optional): Specifies a gap backwards from each instance before the
window of usable data begins. If an integer is provided, will correspond to a number of rows.
If a string is provided, it must be one of pandas' offset alias strings ('1D', '1H', etc),
and it will indicate a length of time between a target instance and the beginning of its window.
Defaults to 0, which will include the target instance in the window.
min_periods (int, optional): Minimum number of observations required for performing calculations
over the window. Can only be as large as window_length when window_length is an integer.
When window_length is an offset alias string, this limitation does not exist, but care should be taken
to not choose a min_periods that will always be larger than the number of observations in a window.
Defaults to 1.
Note:
Only offset aliases with fixed frequencies can be used when defining gap and window_length.
This means that aliases such as `M` or `W` cannot be used, as they can indicate different
numbers of days. ('M', because different months are different numbers of days;
'W' because week will indicate a certain day of the week, like W-Wed, so that will
indicate a different number of days depending on the anchoring date.)
Note:
When using an offset alias to define `gap`, an offset alias must also be used to define `window_length`.
This limitation does not exist when using an offset alias to define `window_length`. In fact,
if the data has a uniform sampling frequency, it is preferable to use a numeric `gap` as it is more
efficient.
Examples:
>>> import pandas as pd
>>> rolling_mean = RollingMean(window_length=3)
>>> times = pd.date_range(start='2019-01-01', freq='1min', periods=5)
>>> rolling_mean(times, [4, 3, 2, 1, 0]).tolist()
[4.0, 3.5, 3.0, 2.0, 1.0]
We can also control the gap before the rolling calculation.
>>> import pandas as pd
>>> rolling_mean = RollingMean(window_length=3, gap=1)
>>> times = pd.date_range(start='2019-01-01', freq='1min', periods=5)
>>> rolling_mean(times, [4, 3, 2, 1, 0]).tolist()
[nan, 4.0, 3.5, 3.0, 2.0]
We can also control the minimum number of periods required for the rolling calculation.
>>> import pandas as pd
>>> rolling_mean = RollingMean(window_length=3, min_periods=3)
>>> times = pd.date_range(start='2019-01-01', freq='1min', periods=5)
>>> rolling_mean(times, [4, 3, 2, 1, 0]).tolist()
[nan, nan, 3.0, 2.0, 1.0]
"""
name = "rolling_mean"
input_types = [ColumnSchema(logical_type=Datetime, semantic_tags={'time_index'}), ColumnSchema(semantic_tags={'numeric'})]
return_type = ColumnSchema(logical_type=Double, semantic_tags={'numeric'})
[docs] def __init__(self, window_length=3, gap=0, min_periods=0):
self.window_length = window_length
self.gap = gap
self.min_periods = min_periods
def get_function(self):
def rolling_mean(datetime, numeric):
x = pd.Series(numeric.values, index=datetime.values)
rolled_series = _roll_series_with_gap(x,
self.window_length,
gap=self.gap,
min_periods=self.min_periods)
if isinstance(self.gap, str):
additional_args = (self.gap, np.mean, self.min_periods)
return rolled_series.apply(_apply_roll_with_offset_gap, args=additional_args).values
return rolled_series.mean().values
return rolling_mean
[docs]class RollingSTD(TransformPrimitive):
"""Calculates the standard deviation of entries over a given window.
Description:
Given a list of numbers and a corresponding list of
datetimes, return a rolling standard deviation of
the numeric values, starting at the row `gap` rows away from the current row and
looking backward over the specified time window
(by `window_length` and `gap`). Input datetimes should be monotonic.
Args:
window_length (int, string, optional): Specifies the amount of data included in each window.
If an integer is provided, will correspond to a number of rows. For data with a uniform sampling frequency,
for example of one day, the window_length will correspond to a period of time, in this case,
7 days for a window_length of 7.
If a string is provided, it must be one of pandas' offset alias strings ('1D', '1H', etc),
and it will indicate a length of time that each window should span.
The list of available offset aliases, can be found at
https://pandas.pydata.org/pandas-docs/stable/user_guide/timeseries.html#offset-aliases.
Defaults to 3.
gap (int, string, optional): Specifies a gap backwards from each instance before the
window of usable data begins. If an integer is provided, will correspond to a number of rows.
If a string is provided, it must be one of pandas' offset alias strings ('1D', '1H', etc),
and it will indicate a length of time between a target instance and the beginning of its window.
Defaults to 0, which will include the target instance in the window.
min_periods (int, optional): Minimum number of observations required for performing calculations
over the window. Can only be as large as window_length when window_length is an integer.
When window_length is an offset alias string, this limitation does not exist, but care should be taken
to not choose a min_periods that will always be larger than the number of observations in a window.
Defaults to 1.
Note:
Only offset aliases with fixed frequencies can be used when defining gap and window_length.
This means that aliases such as `M` or `W` cannot be used, as they can indicate different
numbers of days. ('M', because different months are different numbers of days;
'W' because week will indicate a certain day of the week, like W-Wed, so that will
indicate a different number of days depending on the anchoring date.)
Note:
When using an offset alias to define `gap`, an offset alias must also be used to define `window_length`.
This limitation does not exist when using an offset alias to define `window_length`. In fact,
if the data has a uniform sampling frequency, it is preferable to use a numeric `gap` as it is more
efficient.
Examples:
>>> import pandas as pd
>>> rolling_std = RollingSTD(window_length=4)
>>> times = pd.date_range(start='2019-01-01', freq='1min', periods=5)
>>> rolling_std(times, [4, 3, 2, 1, 0]).tolist()
[nan, 0.7071067811865476, 1.0, 1.2909944487358056, 1.2909944487358056]
We can also control the gap before the rolling calculation.
>>> import pandas as pd
>>> rolling_std = RollingSTD(window_length=4, gap=1)
>>> times = pd.date_range(start='2019-01-01', freq='1min', periods=5)
>>> rolling_std(times, [4, 3, 2, 1, 0]).tolist()
[nan, nan, 0.7071067811865476, 1.0, 1.2909944487358056]
We can also control the minimum number of periods required for the rolling calculation.
>>> import pandas as pd
>>> rolling_std = RollingSTD(window_length=4, min_periods=4)
>>> times = pd.date_range(start='2019-01-01', freq='1min', periods=5)
>>> rolling_std(times, [4, 3, 2, 1, 0]).tolist()
[nan, nan, nan, 1.2909944487358056, 1.2909944487358056]
We can also set the window_length and gap using offset alias strings.
>>> import pandas as pd
>>> rolling_std = RollingSTD(window_length='4min', gap='1min')
>>> times = pd.date_range(start='2019-01-01', freq='1min', periods=5)
>>> rolling_std(times, [4, 3, 2, 1, 0]).tolist()
[nan, nan, 0.7071067811865476, 1.0, 1.2909944487358056]
"""
name = "rolling_std"
input_types = [ColumnSchema(logical_type=Datetime, semantic_tags={'time_index'}), ColumnSchema(semantic_tags={'numeric'})]
return_type = ColumnSchema(logical_type=Double, semantic_tags={'numeric'})
[docs] def __init__(self, window_length=3, gap=0, min_periods=1):
self.window_length = window_length
self.gap = gap
self.min_periods = min_periods
def get_function(self):
def rolling_std(datetime, numeric):
x = pd.Series(numeric.values, index=datetime.values)
rolled_series = _roll_series_with_gap(x,
self.window_length,
gap=self.gap,
min_periods=self.min_periods)
if isinstance(self.gap, str):
def _pandas_std(series):
return series.std()
additional_args = (self.gap, _pandas_std, self.min_periods)
return rolled_series.apply(_apply_roll_with_offset_gap, args=additional_args).values
return rolled_series.std().values
return rolling_std
[docs]class RollingCount(TransformPrimitive):
"""Determines a rolling count of events over a given window.
Description:
Given a list of datetimes, return a rolling count starting
at the row `gap` rows away from the current row and looking backward over the specified
time window (by `window_length` and `gap`).
Input datetimes should be monotonic.
Args:
window_length (int, string, optional): Specifies the amount of data included in each window.
If an integer is provided, will correspond to a number of rows. For data with a uniform sampling frequency,
for example of one day, the window_length will correspond to a period of time, in this case,
7 days for a window_length of 7.
If a string is provided, it must be one of pandas' offset alias strings ('1D', '1H', etc),
and it will indicate a length of time that each window should span.
The list of available offset aliases, can be found at
https://pandas.pydata.org/pandas-docs/stable/user_guide/timeseries.html#offset-aliases.
Defaults to 3.
gap (int, string, optional): Specifies a gap backwards from each instance before the
window of usable data begins. If an integer is provided, will correspond to a number of rows.
If a string is provided, it must be one of pandas' offset alias strings ('1D', '1H', etc),
and it will indicate a length of time between a target instance and the beginning of its window.
Defaults to 0, which will include the target instance in the window.
min_periods (int, optional): Minimum number of observations required for performing calculations
over the window. Can only be as large as window_length when window_length is an integer.
When window_length is an offset alias string, this limitation does not exist, but care should be taken
to not choose a min_periods that will always be larger than the number of observations in a window.
Defaults to 1.
Note:
Only offset aliases with fixed frequencies can be used when defining gap and h.
This means that aliases such as `M` or `W` cannot be used, as they can indicate different
numbers of days. ('M', because different months are different numbers of days;
'W' because week will indicate a certain day of the week, like W-Wed, so that will
indicate a different number of days depending on the anchoring date.)
Note:
When using an offset alias to define `gap`, an offset alias must also be used to define `window_length`.
This limitation does not exist when using an offset alias to define `window_length`. In fact,
if the data has a uniform sampling frequency, it is preferable to use a numeric `gap` as it is more
efficient.
Examples:
>>> import pandas as pd
>>> rolling_count = RollingCount(window_length=3)
>>> times = pd.date_range(start='2019-01-01', freq='1min', periods=5)
>>> rolling_count(times).tolist()
[1.0, 2.0, 3.0, 3.0, 3.0]
We can also control the gap before the rolling calculation.
>>> import pandas as pd
>>> rolling_count = RollingCount(window_length=3, gap=1)
>>> times = pd.date_range(start='2019-01-01', freq='1min', periods=5)
>>> rolling_count(times).tolist()
[nan, 1.0, 2.0, 3.0, 3.0]
We can also control the minimum number of periods required for the rolling calculation.
>>> import pandas as pd
>>> rolling_count = RollingCount(window_length=3, min_periods=3)
>>> times = pd.date_range(start='2019-01-01', freq='1min', periods=5)
>>> rolling_count(times).tolist()
[nan, nan, 3.0, 3.0, 3.0]
We can also set the window_length and gap using offset alias strings.
>>> import pandas as pd
>>> rolling_count = RollingCount(window_length='3min', gap='1min')
>>> times = pd.date_range(start='2019-01-01', freq='1min', periods=5)
>>> rolling_count(times).tolist()
[nan, 1.0, 2.0, 3.0, 3.0]
"""
name = "rolling_count"
input_types = [ColumnSchema(logical_type=Datetime, semantic_tags={'time_index'})]
return_type = ColumnSchema(logical_type=Double, semantic_tags={'numeric'})
[docs] def __init__(self, window_length=3, gap=0, min_periods=0):
self.window_length = window_length
self.gap = gap
self.min_periods = min_periods
def get_function(self):
def rolling_count(datetime):
x = pd.Series(1, index=datetime)
rolled_series = _roll_series_with_gap(x,
self.window_length,
gap=self.gap,
min_periods=self.min_periods)
if isinstance(self.gap, str):
# Since _apply_roll_with_offset_gap doesn't artificially add nans before rolling,
# it produces correct results
additional_args = (self.gap, len, self.min_periods)
return rolled_series.apply(_apply_roll_with_offset_gap, args=additional_args).values
rolling_count_series = rolled_series.count()
# The shift made to account for gap adds NaNs to the rolled series
# Those values get counted towards min_periods when they shouldn't.
# So we need to replace any of those partial values with NaNs
if not self.min_periods:
# when min periods is 0 or None it's treated the same as if it's 1
num_nans = self.gap
else:
num_nans = self.min_periods - 1 + self.gap
rolling_count_series.iloc[range(num_nans)] = np.nan
return rolling_count_series.values
return rolling_count