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ENH: Support all Scipy window types in rolling(..., win_type) #37204

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mroeschke
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@mroeschke mroeschke commented Oct 17, 2020

Additionally cleans up some helper methods

@mroeschke mroeschke added Clean Window rolling, ewma, expanding labels Oct 17, 2020
@mroeschke mroeschke added this to the 1.2 milestone Oct 17, 2020
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pep8speaks commented Oct 19, 2020

Hello @mroeschke! Thanks for updating this PR. We checked the lines you've touched for PEP 8 issues, and found:

There are currently no PEP 8 issues detected in this Pull Request. Cheers! 🍻

Comment last updated at 2020-10-30 19:32:34 UTC

@mroeschke mroeschke changed the title CLN: weighted rolling window helper functions ENH: Support all Scipy window types in rolling(..., win_type) Oct 19, 2020
@mroeschke mroeschke mentioned this pull request Oct 19, 2020
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@@ -451,6 +451,10 @@ The list of recognized types are the `scipy.signal window functions
* ``slepian`` (needs width)
* ``exponential`` (needs tau).

.. versionadded:: 1.2.0

All Scipy window types, concurrent with your installed version, are recognized ``win_types``.
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which functions do we now support that we did not before? can u enumerate them

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Added. Eventually, we should remove all the enumerated supported window types as it will get stale with scipy developments

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maybe
but we do parameter introspection now -
would be ok to fix this up i think and just point to the documentation of the actual window functions

@jreback jreback removed this from the 1.2 milestone Oct 20, 2020
@mroeschke mroeschke added this to the 1.2 milestone Oct 21, 2020
"scipy.signal", extra="Scipy is required to generate window weight."
)
assert self.win_type is not None # for mypy
window = getattr(signal, self.win_type)(self.window, **kwargs)
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add a test if you pass bogus kwargs to a real scipy function.

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Done

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All green besides the (expected) failing 32-bit build

@jreback jreback merged commit 499b5ef into pandas-dev:master Oct 31, 2020
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jreback commented Oct 31, 2020

thanks @mroeschke

@mroeschke mroeschke deleted the cln/weighted_rolling_window_methods branch October 31, 2020 22:57
kesmit13 pushed a commit to kesmit13/pandas that referenced this pull request Nov 2, 2020
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ENH: Rolling Calculations Ignore Extended Window Specification
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