Sliding window modules

User Discussion
1

Hi all,

Currently working on implementing an anomaly detection algorithm in python, but strangely I found myself blocked by the lack of function for moving average and similar function that exists in matlab.

Has anyone else encountered the same issue?

Best regards

2

Are you aware of numpy.lib.strid_tricks.sliding_window_view and scipy.ndimage.uniform_filter?

3

Moving average is just convolution with ones(). Maybe there could be a convenience function? Or do you want to do things other than average? Would pandas work?

4

A moving average may interpreted as a FIR-Filter. Hence, lfilter is probably the easiest way to implement it:

import numpy as np
from scipy.signal import lfilter

m = 4  # length of averaging block
x = np.arange(10)  # x = [0, 1, 2, 3, 4, 5, 6, 7, 8, 9]
y = lfilter(np.ones(m) / m, 1, x)  # y = [0.  , 0.25, 0.75, 1.5 , 2.5 , 3.5 , 4.5 , 5.5 , 6.5 , 7.5 ]