劉三 格物 鐵雲

Python 的 pandas 套件內提供一個 resample 函式在處理這種事情，你可先參考: https://machinelearningmastery.com/resample-interpolate-time-series-data-python/ 知道它大概做什麼。然後你會發現，resample 的第一個參數有點陌生，它用來表示目標顆粒度的轉換 ( the offset string or object representing target conversion): 這些顆粒度的表示法如下: Alias Description B business day frequency C custom business day frequency D calendar day frequency W weekly frequency M month end frequency SM semi-month end frequency (15th and end of month) BM business month end frequency CBM custom business month end frequency MS month start frequency SMS semi-month start frequency (1st and 15th) BMS business month start frequency CBMS custom business month start frequency Q quarter end frequency BQ business quarter end frequency QS quarter start frequency BQS business quarter start frequency A, Y year end frequency BA, BY business year end frequency AS, YS year start frequency BAS, BYS business year start frequency BH business hour frequency H hourly frequency T, m...

Features :  Time domain： 均值，方差，標準差，最大值，最小值，過零點個數，最大值與最小值之差，眾數 frequency domain： 直流分量，圖形的均值、方差、標準差、斜度、峭度，幅度的均值、方差、標準差、斜度、峭度 R 1. Spectral entropy of a time series Computes feature of a time series based on tiled (non-overlapping) windows. 2. lumpiness is the variance of the variances 3. stability is the variance of the means Computes feature of a time series based on sliding (overlapping) windows 4. max_level_shift finds the largest mean shift between two consecutive windows. 5. max_var_shift finds the largest var shift between two consecutive windows 6. max_kl_shift finds the largest shift in Kulback-Leibler divergence between two consecutive windows 7. Number of crossing points: the number of times a time series crosses the median 8. Number of flat spots: Number of flat spots in a time series(rel) 9. Hurst coefficent: Computes the Hurst coefficient indicating the level of fractional differencing of a time series 10. Autocorrelation-based features: Compu...