API: Table-wise rolling / expanding / EWM function application

[TomAugspurger]

In #11603 (comment) (the main PR implementing the deferred API for rolling / expanding / ewm), we discussed how to specify table-wise applys. Groupby.apply(f) feeds the entire group (all columns) to f. For backwards-compatibility, .rolling(n).apply(f) needed to be column-wise.

#11603 (comment) mentions a possible API like what I added for .style

• axis=0: apply to each column independently
• axis=1: apply to each row independently
• axis=None: apply the supplied function to the entire table

So it'd be df.rolling(n).apply(f, axis=None).
Do people like the axis=0 / 1 / None idiom? Is it obvious enough?

This is prompted by @josef-pkt's post on the mailinglist. Needing a rolling OLS.

An example:

In [2]: import numpy as np
   ...: import pandas as pd
   ...:
   ...: np.random.seed(0)
   ...: df = pd.DataFrame(np.random.randint(0, 10, size=(10, 2)), columns=["A", "B"])
   ...: df
   ...:
Out[2]:
   A  B
0  5  0
1  3  3
2  7  9
3  3  5
4  2  4
5  7  6
6  8  8
7  1  6
8  7  7
9  8  1

For a concrete example, get the table-wise max (this is equivalent to df.rolling(4).max().max(1))

In [10]: df.rolling(4).apply(np.max, axis=None)
Out[10]:
0    NaN
1    NaN
2    NaN
3    9.0
4    9.0
5    9.0
6    8.0
7    8.0
8    8.0
9    8.0
dtype: float64

A real example is something like a rolling OLS:

import statsmodels.api as sm
f = lambda x: sm.OLS.from_formula('A ~ B', data=x).fit()  # wrong, but w/e

df.rolling(5).apply(f, axis=None)

[jreback]

can u put up a simple example with the various options exercised? (e.g. simulate the output)

[TomAugspurger]

Updated with an example.

I also changed the suggested API: Before I had

df.rolling(n, axis=None).apply(f)

But really it should be

df.rolling(n).apply(f, axis=None).

The .rolling(axis=.) parameter controls the direction for rolling. The .rolling(...).apply(f, axis=.) parameter controls the axis for function application.

[jreback]

@TomAugspurger correct me if I am wrong, but what you really want is for .apply to be passed one of 2 cases.

• a single column (now)
• the entire table (option)

?
The other functions are only univariate so this doesn't matter.

but apply is pretty generic so we don't know what the user wants (but the original implementation was a single column)

[TomAugspurger]

You're correct.

This should make things clear

In [9]: def f(x):
   ...:     print(x)
   ...:     return 0

In [8]: df = pd.DataFrame(np.arange(9).reshape(3, 3))

In [14]: df
Out[14]:
   0  1  2
0  0  1  2
1  3  4  5
2  6  7  8

Currently, and the default in the future, this prints out

In [10]: df.rolling(2).apply(f)
[ 0.  3.]
[ 3.  6.]
[ 1.  4.]
[ 4.  7.]
[ 2.  5.]
[ 5.  8.]

With the new implementation and axis=None, the printed output would be

In [10]: df.rolling(2).apply(f, axis=None)
[[ 0  1, 2],  # first window; 2x3 array
 [ 3, 4, 5]]
[[ 3, 4, 5],  # second window; 2x3 array
  [6, 7, 8]]

[jreback]

@TomAugspurger I know you used axis=None this way in .style, but I personally find this a bit confusing.

I think its better to follow our current model, IOW

receive a DataFrame df.rolling(...).apply(...)
receive a Series df.rolling(...).column.apply(...)

is very natural. This would be an API change, though even now I think we pass a ndarray.

another possibilty is to have return_type = 'frame', 'series', 'ndarray' (with a default of None, so that we can make this change easier).

[dbivolaru]

I ran into a similar issue with a rolling function that uses OLS internally and needs to return more than one column (eg. the confidence interval).

Would the test cases cover also df.groupby(level=...)['column'].rolling(...).apply(...) and is there a workaround for pre-0.20 versions that would prevent re-calculating the OLS twice ie. for each returned column?

Regarding API, I think the best way it should look like:

def f(narray):
    res = sm.OLS(narray, ...).fit()
    m_min, m_max = res.conf_int(0.05)[0]
    return m_min, m_max

# Single column
df.groupby(level=...)['column'].rolling(...).apply(lambda x: f(x))

def g(exogen, endogen):
    res = sm.OLS(exogen, endogen).fit()
    m_min, m_max = res.conf_int(0.05)[0]
    return m_min, m_max

# Multiple columns
df.groupby(level=...).rolling(...).apply(lambda x: g(x['exogen'], x['endogen']))

[jreback]

@dbivolaru

Would the test cases cover also df.groupby(level=...)['column'].rolling(...).apply(...) and is there a workaround for pre-0.20 versions that would prevent re-calculating the OLS twice ie. for each returned column?

This is just an idea. You are welcome to submit a patch for this.