Pandas DataFrame: Calculate the rolling weighted window variance

Updated: February 21, 2024 By: Guest Contributor Post a comment


Calculating the rolling weighted variance of a dataset is a powerful technique for time series analysis. This process involves examining a ‘window’ of data points to compute a variance where more recent data points are given higher weight, allowing you to observe how the dispersion of a dataset changes over time. This technique is particularly useful in financial, meteorological, or other time-sensitive datasets where trends may shift. In this tutorial, we will explore how to calculate the rolling weighted variance using Pandas in Python.

Before diving in, ensure you have Pandas installed:

pip install pandas

Basic Example

Let’s start with a basic example using a simple DataFrame. Initialize the DataFrame:

import pandas as pd
import numpy as np

data = {'Value': [2, 4, 6, 8, 10]}
df = pd.DataFrame(data)

Next, we will apply a simple rolling window variance without weights, to understand the concept:


This gives us the basic variance over a sliding window of 3 values. Output:

0     NaN
1     NaN
2    4.0
3    4.0
4    4.0
Name: Value, dtype: float64

Introducing Weighted Variance

To calculate the weighted variance, we need to apply weights to our rolling window. Pandas does not natively support rolling weighted variance directly, but we can achieve this by combining the rolling method with apply, and customizing our function or using libraries like numpy.

Define a custom weighted variance function:

def weighted_variance(values, weights):
    average = np.average(values, weights=weights)
    variance = np.average((values-average)**2, weights=weights)
    return variance

Then, use `rolling.apply` to apply this function. Note: You will need to define your weights. For simplicity, here, weights increase linearly:

window_size = 3
weights = np.arange(1, window_size + 1)

df['Value'].rolling(window=window_size).apply(lambda x: weighted_variance(x, weights), raw=False)

Remember, this doesn’t modify our DataFrame directly; to store or view the results, you would need to assign this operation to a new column or variable.

Using Exponential Weights

Another approach is to use exponential weighting, which is inherently supported by Pandas through the `ewm` method. While not the same as the custom weighted variance, this method provides a more straightforward and natively supported solution to apply a type of weight to our variance calculations.

exp_weighted_var = df['Value'].ewm(span=3).var()

The output shows the exponentially weighted variance over our dataset:

0         NaN
1    2.000000
2    2.666667
3    2.666667
4    2.666667
Name: Value, dtype: float64

Advanced: Custom Weight Functions

For more advanced scenarios, such as applying non-linear weight distributions, you can define more complex weight functions. This approach allows for significant flexibility, enabling you to tailor the weight distribution to your specific analysis needs.

For example, you could implement a Gaussian distribution as your weight function:

from scipy.stats import norm

# Define a Gaussian weight function
def gaussian_weights(window_size, std_dev=1):
    return norm.pdf(np.arange(window_size), 0, std_dev)

# Apply to our rolling window
window_size = 5
weights = gaussian_weights(window_size)
df['Value'].rolling(window=window_size).apply(lambda x: weighted_variance(x, weights), raw=False)

Remember, custom functions like this need testing and validation to ensure they meet your analytical requirements.

Performance Considerations

When working with large datasets, performance can become an issue. Utilizing native Pandas methods like `ewm` can offer significant performance benefits over custom apply functions. If you encounter performance issues, consider adjusting your approach or simplifying your weight functions.

Visualizing Results

Finally, visualizing your rolling weighted variance can be highly beneficial for insights. Utilizing matplotlib or seaborn, you can quickly plot your results:

import matplotlib.pyplot as plt

df['RollingWeightedVar'] = df['Value'].rolling(window=3).apply(lambda x: weighted_variance(x, weights), raw=False)

plt.plot(df['Value'], label='Original')
plt.plot(df['RollingWeightedVar'], label='Rolling Weighted Variance')


Calculating the rolling weighted variance using Pandas in Python provides a nuanced view of time series data, revealing hidden volatility patterns. Through the approaches demonstrated, ranging from simple applications to complex custom functions, you can tailor the analysis to meet your specific project’s needs. Remember, the key to effective analysis is choosing the right weighting mechanism for your dataset.