滚动窗口并应用：如何使用窗口中的两列

编程问答 2022-08-13

问题描述

我有一个数据框，我想使用滚动提取两列并对它们执行回归（对第二列进行回归）。我已经看到人们使用apply来执行一个功能，例如：

def multi_period_return(period_returns):
   return np.prod(period_returns + 1) - 1

pr = data.SP500.pct_change() # period return
r = pr.rolling('360D').apply(multi_period_return)

我的数据是：

sp500data:
caldt,spreturn,shifted
1962-07-05,0.0056,0.0112
1962-07-06,-0.0112,0.0056
1962-07-09,0.0067,-0.0112
1962-07-10,0.011,0.0067

考虑到上面的代码效果很好，我正在写：

def firstcoef(spdf):
    return sm.OLS(spdf['spreturn'],spdf['shifted']).fit().params[0]

r = sp500data.rolling(window='360D').apply(firstcoef)

但是代码无法正常工作，并且出现以下错误：

Traceback (most recent call last):
  File "C:/Users/moham/PycharmProjects/pythonProject1/main.py",line 19,in <module>
    r = sp500data.rolling(window='360D').apply(firstcoef)
  File "C:\Users\moham\PycharmProjects\pythonProject1\venv\lib\site-packages\pandas\core\window\rolling.py",line 2059,in apply
    return super().apply(
  File "C:\Users\moham\PycharmProjects\pythonProject1\venv\lib\site-packages\pandas\core\window\rolling.py",line 1388,in apply
    return self._apply(
  File "C:\Users\moham\PycharmProjects\pythonProject1\venv\lib\site-packages\pandas\core\window\rolling.py",line 586,in _apply
    result = np.apply_along_axis(calc,self.axis,values)
  File "<__array_function__ internals>",line 5,in apply_along_axis
  File "C:\Users\moham\PycharmProjects\pythonProject1\venv\lib\site-packages\numpy\lib\shape_base.py",line 379,in apply_along_axis
    res = asanyarray(func1d(inarr_view[ind0],*args,**kwargs))
  File "C:\Users\moham\PycharmProjects\pythonProject1\venv\lib\site-packages\pandas\core\window\rolling.py",line 576,in calc
    return func(x,start,end,min_periods)
  File "C:\Users\moham\PycharmProjects\pythonProject1\venv\lib\site-packages\pandas\core\window\rolling.py",line 1415,in apply_func
    return window_func(values,begin,min_periods)
  File "pandas\_libs\window\aggregations.pyx",line 1441,in pandas._libs.window.aggregations.roll_generic_variable
  File "C:/Users/moham/PycharmProjects/pythonProject1/main.py",line 10,in firstcoef
    return sm.OLS(spdf['spreturn'],spdf['shifted']).fit().params[0]
  File "C:\Users\moham\PycharmProjects\pythonProject1\venv\lib\site-packages\pandas\core\series.py",line 882,in __getitem__
    return self._get_value(key)
  File "C:\Users\moham\PycharmProjects\pythonProject1\venv\lib\site-packages\pandas\core\series.py",line 991,in _get_value
    loc = self.index.get_loc(label)
  File "C:\Users\moham\PycharmProjects\pythonProject1\venv\lib\site-packages\pandas\core\indexes\datetimes.py",line 605,in get_loc
    raise KeyError(key) from err
KeyError: 'spreturn'

Process finished with exit code 1

我想提取回归的第一个系数并将其作为数据框，然后绘制它们。修改我的代码的正确方法是什么？

我想要的输出是这样的：

1962-07-05,0.09
1962-07-06,0.011
1962-07-09,0.02
1962-07-10,0.03
1962-07-11,0.04

值是模型参数（实际上，我希望第一个模型参数为params[0]）。

解决方法

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applypandaspandaspythonregressionrolling-computation