[FIXED] How to calculate rolling / moving average using python + NumPy / SciPy?

Issue

There seems to be no function that simply calculates the moving average on numpy/scipy, leading to convoluted solutions.

My question is two-fold:

• What's the easiest way to (correctly) implement a moving average with numpy?
• Since this seems non-trivial and error prone, is there a good reason not to have the batteries included in this case?

Solution

A simple way to achieve this is by using np.convolve. The idea behind this is to leverage the way the discrete convolution is computed and use it to return a rolling mean. This can be done by convolving with a sequence of np.ones of a length equal to the sliding window length we want.

In order to do so we could define the following function:

def moving_average(x, w):
    return np.convolve(x, np.ones(w), 'valid') / w

This function will be taking the convolution of the sequence x and a sequence of ones of length w. Note that the chosen mode is valid so that the convolution product is only given for points where the sequences overlap completely.

---

Some examples:

x = np.array([5,3,8,10,2,1,5,1,0,2])

For a moving average with a window of length 2 we would have:

moving_average(x, 2)
# array([4. , 5.5, 9. , 6. , 1.5, 3. , 3. , 0.5, 1. ])

And for a window of length 4:

moving_average(x, 4)
# array([6.5 , 5.75, 5.25, 4.5 , 2.25, 1.75, 2.  ])

---

How does convolve work?

Lets have a more in depth look at the way the discrete convolution is being computed. The following function aims to replicate the way np.convolve is computing the output values:

def mov_avg(x, w):
    for m in range(len(x)-(w-1)):
        yield sum(np.ones(w) * x[m:m+w]) / w 

Which, for the same example above would also yield:

list(mov_avg(x, 2))
# [4.0, 5.5, 9.0, 6.0, 1.5, 3.0, 3.0, 0.5, 1.0]

So what is being done at each step is to take the inner product between the array of ones and the current window. In this case the multiplication by np.ones(w) is superfluous given that we are directly taking the sum of the sequence.

Bellow is an example of how the first outputs are computed so that it is a little clearer. Lets suppose we want a window of w=4:

[1,1,1,1]
[5,3,8,10,2,1,5,1,0,2]
= (1*5 + 1*3 + 1*8 + 1*10) / w = 6.5

And the following output would be computed as:

  [1,1,1,1]
[5,3,8,10,2,1,5,1,0,2]
= (1*3 + 1*8 + 1*10 + 1*2) / w = 5.75

And so on, returning a moving average of the sequence once all overlaps have been performed.

Answered By - yatu