codehacken

# Create a function to reshape a ndarray using a sliding window.
# NOTE: The function uses numpy's internat as_strided function because looping in python is slow in comparison.

# Adopted from http://www.rigtorp.se/2011/01/01/rolling-statistics-numpy.html
import numpy as np

# Reshape a numpy array 'a' of shape (n, x) to form shape((n - window_size), window_size, x))
def rolling_window(a, window, step_size):
    shape = a.shape[:-1] + (a.shape[-1] - window + 1 - step_size + 1, window)
    strides = a.strides + (a.strides[-1] * step_size,)