相关疑难解决方法(0)

我有动力使用pandas rolling功能来执行滚动多因素回归(这个问题不是关于滚动多因素回归).我希望我能够apply在a之后使用df.rolling(2)并将得到的pd.DataFrame提取物与ndarray一起使用.values并执行必要的矩阵乘法.它没有那么成功.

这是我发现的:

import pandas as pd
import numpy as np

np.random.seed([3,1415])
df = pd.DataFrame(np.random.rand(5, 2).round(2), columns=['A', 'B'])
X = np.random.rand(2, 1).round(2)

对象是什么样的:

print "\ndf = \n", df
print "\nX = \n", X
print "\ndf.shape =", df.shape, ", X.shape =", X.shape

df = 
      A     B
0  0.44  0.41
1  0.46  0.47
2  0.46  0.02
3  0.85  0.82
4  0.78  0.76

X = 
[[ 0.93]
 [ 0.83]]

df.shape = (5, …

我有一个包含 4 列的大型数据框 df：

             id           period  ret_1m   mkt_ret_1m
131146       CAN00WG0     199609 -0.1538    0.047104
133530       CAN00WG0     199610 -0.0455   -0.014143
135913       CAN00WG0     199611  0.0000    0.040926
138334       CAN00WG0     199612  0.2952    0.008723
140794       CAN00WG0     199701 -0.0257    0.039916
143274       CAN00WG0     199702 -0.0038   -0.025442
145754       CAN00WG0     199703 -0.2992   -0.049279
148246       CAN00WG0     199704 -0.0919   -0.005948
150774       CAN00WG0     199705  0.0595    0.122322
153318       CAN00WG0     199706 -0.0337    0.045765

             id           period  ret_1m   mkt_ret_1m
160980       CAN00WH0     199709  0.0757    0.079293
163569       CAN00WH0     199710 -0.0741   -0.044000
166159       CAN00WH0     199711  0.1000   -0.014644
168782       CAN00WH0     199712 …