Created
July 25, 2017 07:32
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Strides with rolling window
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| def rolling_window(self, ts, window, stride): | |
| shape = ts.shape[:-1] + (int((ts.shape[-1] - window)/stride + 1), window) | |
| strides = (stride*ts.strides[-1],) + (ts.strides[-1],) | |
| return np.lib.stride_tricks.as_strided(ts, | |
| shape=shape, | |
| strides=strides) |
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