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Modified version of rolling window function from (1) that allows choosing rolling (increment) step. // (1) http://www.rigtorp.se/2011/01/01/rolling-statistics-numpy.html
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| import numpy as np | |
| def rolling_window(a, window, step=1): | |
| n = (a.shape[-1] - window) // step + 1 | |
| shape = a.shape[:-1] + (n, window) | |
| strides = a.strides[:-1] + (a.strides[-1]*step, a.strides[-1]) | |
| return np.lib.stride_tricks.as_strided(a, shape=shape, strides=strides) |
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