Pandas groupby ewm

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Chapters
00:00 Pandas Groupby Ewm
02:10 Accepted Answer Score 8
02:26 Answer 2 Score 1
02:45 Answer 3 Score 0
03:03 Thank you

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Full question
https://stackoverflow.com/questions/5800...

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Content licensed under CC BY-SA
https://meta.stackexchange.com/help/lice...

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Tags
#python #pandas #timeseries #pandasgroupby #rollingcomputation

#avk47

ACCEPTED ANSWER

Score 8

Let's fix the problem, using transform:

t['ewm'] = ts.groupby(['C1'])['X1'].transform(lambda x: x.ewm(halflife=10).mean()).values()

ANSWER 2

Score 1

The accepted answer is very slow for large datasets.

What I have done is:

ts['ewm'] = ts.groupby(['C1']).ewm(halflife=10).mean().values

and it seems to work just fine

ANSWER 3

Score 0

Can you try this? Do NOT set ts = df.set_index('T'). Then you can do as below

ts['ewm']=ts.groupby(['C1'], sort=False).apply(lambda x: x['X1'].ewm(halflife=10).mean()).reset_index(drop=True)