10

我有一个时间序列数据。生成数据

date_rng = pd.date_range('2019-01-01', freq='s', periods=400)
df = pd.DataFrame(np.random.lognormal(.005, .5,size=(len(date_rng), 3)),
                  columns=['data1', 'data2', 'data3'],
                  index= date_rng)
s = df['data1']

我想创建一条连接局部最大值和局部最小值的曲折线,它满足在 y 轴上,|highest - lowest value|每条曲折线必须超过前一个距离的百分比(比如 20%)的条件之字形线和一个预先设定的值 k(比如 1.2)

我可以使用以下代码找到局部极值:

# Find peaks(max).
peak_indexes = signal.argrelextrema(s.values, np.greater)
peak_indexes = peak_indexes[0]

# Find valleys(min).
valley_indexes = signal.argrelextrema(s.values, np.less)
valley_indexes = valley_indexes[0]
# Merge peaks and valleys data points using pandas.
df_peaks = pd.DataFrame({'date': s.index[peak_indexes], 'zigzag_y': s[peak_indexes]})
df_valleys = pd.DataFrame({'date': s.index[valley_indexes], 'zigzag_y': s[valley_indexes]})
df_peaks_valleys = pd.concat([df_peaks, df_valleys], axis=0, ignore_index=True, sort=True)

# Sort peak and valley datapoints by date.
df_peaks_valleys = df_peaks_valleys.sort_values(by=['date'])

但我不知道如何将阈值条件应用于它。请告诉我如何申请这样的条件。

由于数据可能包含数百万个时间戳,因此强烈建议进行有效计算

为了更清楚的描述:在此处输入图像描述

示例输出,来自我的数据:

 # Instantiate axes.
(fig, ax) = plt.subplots()
# Plot zigzag trendline.
ax.plot(df_peaks_valleys['date'].values, df_peaks_valleys['zigzag_y'].values, 
                                                        color='red', label="Zigzag")

# Plot original line.
ax.plot(s.index, s, linestyle='dashed', color='black', label="Org. line", linewidth=1)

# Format time.
ax.xaxis_date()
ax.xaxis.set_major_formatter(mdates.DateFormatter("%Y-%m-%d"))

plt.gcf().autofmt_xdate()   # Beautify the x-labels
plt.autoscale(tight=True)

plt.legend(loc='best')
plt.grid(True, linestyle='dashed')

在此处输入图像描述

我想要的输出(与此类似,之字形仅连接重要段) 在此处输入图像描述

4

2 回答 2

4

我已经回答了我对这个问题的最佳理解。然而,变量 K 如何影响过滤器尚不清楚。

您想根据运行条件过滤极值。我假设您要标记与最后一个标记的极值的相对距离大于 p% 的所有极值。我进一步假设您始终将时间序列的第一个元素视为有效/相关点。

我使用以下过滤器功能实现了这一点:

def filter(values, percentage):
    previous = values[0] 
    mask = [True]
    for value in values[1:]: 
        relative_difference = np.abs(value - previous)/previous
        if relative_difference > percentage:
            previous = value
            mask.append(True)
        else:
            mask.append(False)
    return mask

要运行您的代码,我首先导入依赖项:

from scipy import signal
import pandas as pd
import numpy as np
import matplotlib.pyplot as plt
import matplotlib.dates as mdates

为了使代码可复制,我修复了随机种子:

np.random.seed(0)

剩下的就是copypasta。请注意,我减少了样本量以使结果清晰。

date_rng = pd.date_range('2019-01-01', freq='s', periods=30)
df = pd.DataFrame(np.random.lognormal(.005, .5,size=(len(date_rng), 3)),
                  columns=['data1', 'data2', 'data3'],
                  index= date_rng)
s = df['data1']
# Find peaks(max).
peak_indexes = signal.argrelextrema(s.values, np.greater)
peak_indexes = peak_indexes[0]
# Find valleys(min).
valley_indexes = signal.argrelextrema(s.values, np.less)
valley_indexes = valley_indexes[0]
# Merge peaks and valleys data points using pandas.
df_peaks = pd.DataFrame({'date': s.index[peak_indexes], 'zigzag_y': s[peak_indexes]})
df_valleys = pd.DataFrame({'date': s.index[valley_indexes], 'zigzag_y': s[valley_indexes]})
df_peaks_valleys = pd.concat([df_peaks, df_valleys], axis=0, ignore_index=True, sort=True)
# Sort peak and valley datapoints by date.
df_peaks_valleys = df_peaks_valleys.sort_values(by=['date'])

然后我们使用过滤功能:

p = 0.2 # 20% 
filter_mask = filter(df_peaks_valleys.zigzag_y, p)
filtered = df_peaks_valleys[filter_mask]

并像你之前的情节以及新过滤的极值一样绘制:

 # Instantiate axes.
(fig, ax) = plt.subplots(figsize=(10,10))
# Plot zigzag trendline.
ax.plot(df_peaks_valleys['date'].values, df_peaks_valleys['zigzag_y'].values, 
                                                        color='red', label="Extrema")
# Plot zigzag trendline.
ax.plot(filtered['date'].values, filtered['zigzag_y'].values, 
                                                        color='blue', label="ZigZag")

# Plot original line.
ax.plot(s.index, s, linestyle='dashed', color='black', label="Org. line", linewidth=1)

# Format time.
ax.xaxis_date()
ax.xaxis.set_major_formatter(mdates.DateFormatter("%Y-%m-%d"))

plt.gcf().autofmt_xdate()   # Beautify the x-labels
plt.autoscale(tight=True)

plt.legend(loc='best')
plt.grid(True, linestyle='dashed')

在此处输入图像描述

编辑

如果想同时认为第一个点和最后一个点都有效,那么您可以按如下方式调整过滤器功能:

def filter(values, percentage):
    # the first value is always valid
    previous = values[0] 
    mask = [True]
    # evaluate all points from the second to (n-1)th
    for value in values[1:-1]: 
        relative_difference = np.abs(value - previous)/previous
        if relative_difference > percentage:
            previous = value
            mask.append(True)
        else:
            mask.append(False)
    # the last value is always valid
    mask.append(True)
    return mask
于 2020-01-07T16:49:48.250 回答
4

您可以使用 Pandas 滚动功能来创建局部极值。与您的 Scipy 方法相比,这稍微简化了代码。

求极值的函数:

def islocalmax(x):
    """Both neighbors are lower,
    assumes a centered window of size 3"""
    return (x[0] < x[1]) & (x[2] < x[1])

def islocalmin(x):
    """Both neighbors are higher,
    assumes a centered window of size 3"""
    return (x[0] > x[1]) & (x[2] > x[1])

def isextrema(x):
    return islocalmax(x) or islocalmin(x)

创建 zigzag 的函数,它可以一次应用于 Dataframe(在每一列上),但这将引入 NaN,因为每列返回的时间戳不同。您可以稍后轻松删除它们,如下例所示,或者简单地将函数应用于 Dataframe 中的单个列。

请注意,我取消了对阈值的测试的注释k,我不确定是否完全正确理解了该部分。如果前一个极端值和当前极端值之间的绝对差异需要大于 ,则可以包含它k& (ext_val.diff().abs() > k)

我也不确定最终的曲折是否应该总是从最初的高点移动到低点,反之亦然。我认为应该是这样,否则您可以在函数末尾删除第二次极端搜索。

def create_zigzag(col, p=0.2, k=1.2):

    # Find the local min/max
    # converting to bool converts NaN to True, which makes it include the endpoints    
    ext_loc = col.rolling(3, center=True).apply(isextrema, raw=False).astype(np.bool_)

    # extract values at local min/max
    ext_val = col[ext_loc]

    # filter locations based on threshold
    thres_ext_loc = (ext_val.diff().abs() > (ext_val.shift(-1).abs() * p)) #& (ext_val.diff().abs() > k)

    # Keep the endpoints
    thres_ext_loc.iloc[0] = True
    thres_ext_loc.iloc[-1] = True

    thres_ext_loc = thres_ext_loc[thres_ext_loc]

    # extract values at filtered locations 
    thres_ext_val = col.loc[thres_ext_loc.index]

    # again search the extrema to force the zigzag to always go from high > low or vice versa,
    # never low > low, or high > high
    ext_loc = thres_ext_val.rolling(3, center=True).apply(isextrema, raw=False).astype(np.bool_)
    thres_ext_val  =thres_ext_val[ext_loc]

    return thres_ext_val

生成一些示例数据:

date_rng = pd.date_range('2019-01-01', freq='s', periods=35)

df = pd.DataFrame(np.random.randn(len(date_rng), 3),
                  columns=['data1', 'data2', 'data3'],
                  index= date_rng)

df = df.cumsum()

应用函数并提取“data1”列的结果:

dfzigzag = df.apply(create_zigzag)
data1_zigzag = dfzigzag['data1'].dropna()

可视化结果:

fig, axs = plt.subplots(figsize=(10, 3))

axs.plot(df.data1, 'ko-', ms=4, label='original')
axs.plot(data1_zigzag, 'ro-', ms=4, label='zigzag')
axs.legend()

在此处输入图像描述

于 2020-01-08T09:55:24.220 回答