Closed
Description
Problem Description
In pandas.Series.rolling, the SciPy window type exponential has not been implemented. This win_type would be extremely useful for analysing biological processes. It should be pretty easy to add.
Please, note that despite the similar name, the proposed method is mathematically different from the implemented pandas.Series.ewm method.
Enhancement Request
Taking for example df.rolling(51, win_type='exponential', tau=10), the implemented SciPy window would be the following asymmetrical window:
from scipy import signal
window = 51
tau = 10
w = signal.exponential(window, tau=tau, sym=False, center=0)
array([1. , 0.90483742, 0.81873075, 0.74081822, 0.67032005,
0.60653066, 0.54881164, 0.4965853 , 0.44932896, 0.40656966,
0.36787944, 0.33287108, 0.30119421, 0.27253179, 0.24659696,
0.22313016, 0.20189652, 0.18268352, 0.16529889, 0.14956862,
0.13533528, 0.12245643, 0.11080316, 0.10025884, 0.09071795,
0.082085 , 0.07427358, 0.06720551, 0.06081006, 0.05502322,
0.04978707, 0.0450492 , 0.0407622 , 0.03688317, 0.03337327,
0.03019738, 0.02732372, 0.02472353, 0.02237077, 0.02024191,
0.01831564, 0.01657268, 0.01499558, 0.01356856, 0.01227734,
0.011109 , 0.01005184, 0.00909528, 0.00822975, 0.00744658,
0.00673795])
Expected Output
>>> df = pd.DataFrame({'B': [1, 0, 0, 0, 0]})
>>> df.rolling(51, win_type='exponential', tau=10)
B
0 1.0
1 0.90483742
2 0.81873075
3 0.74081822
4 0.67032005