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Add fast pairwise rolling correlation function #189

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wesm opened this issue Oct 1, 2011 · 1 comment
Closed

Add fast pairwise rolling correlation function #189

wesm opened this issue Oct 1, 2011 · 1 comment
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Enhancement
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0.6.1

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@wesm
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wesm commented Oct 1, 2011

@idrisr

def rolling_corr_pairwise(df, window):
   all_results = {}

   for col, left in df.iteritems():
       all_results[col] = col_results = {}
       for col, right in df.iteritems():
           col_results[col] = rolling_corr(left, right, window)

   return Panel(all_results)
wesm added a commit that referenced this issue Dec 12, 2011
@wesm
ENH: rolling_corr_pairwise function re: #189
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@wesm
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wesm commented Dec 12, 2011

added a slightly more efficient version of this. It's fairly speedy

@wesm wesm closed this as completed Dec 12, 2011
dan-nadler pushed a commit to dan-nadler/pandas that referenced this issue Sep 23, 2019
@bmoscon
Feature pandas-dev#186 and Bugfix pandas-dev#189 (pandas-dev#190)
7a2a0db 
* Feature pandas-dev#186 and Bugfix pandas-dev#189
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