pandas.core.window.Rolling.quantile¶

Calculate the rolling quantile.

param quantile

float: Quantile to compute. 0 <= quantile <= 1.

param interpolation

{‘linear’, ‘lower’, ‘higher’, ‘midpoint’, ‘nearest’}

New in version 0.23.0.

This optional parameter specifies the interpolation method to use, when the desired quantile lies between two data points i and j:

linear: i + (j - i) * fraction, where fraction is the
fractional part of the index surrounded by i and j.
lower: i.
higher: j.
nearest: i or j whichever is nearest.
midpoint: (i + j) / 2.
**kwargs: For compatibility with other rolling methods. Has no effect on the result.

return

Series or DataFrame Returned object type is determined by the caller of the rolling calculation.

Limitations¶

This function may reveal slower performance than Pandas* on user system. Users should exercise a tradeoff between staying in JIT-region with that function or going back to interpreter mode. Supported interpolation only can be ‘linear’. DataFrame/Series elements cannot be max/min float/integer. Otherwise SDC and Pandas results are different.

Examples¶

Calculate the rolling quantile.¶

import pandas as pd
from numba import njit


@njit
def series_rolling_quantile():
    series = pd.Series([4, 3, 5, 2, 6])  # Series of 4, 3, 5, 2, 6
    out_series = series.rolling(3).quantile(0.25)

    return out_series  # Expect series of NaN, NaN, 3.5, 2.5, 3.5


print(series_rolling_quantile())

$ python ./series/rolling/series_rolling_quantile.py
  NaN
  NaN
  3.5
  2.5
  3.5
dtype: float64

Calculate the rolling quantile.¶

import pandas as pd
from numba import njit


@njit
def df_rolling_quantile():
    df = pd.DataFrame({'A': [4, 3, 5, 2, 6], 'B': [-4, -3, -5, -2, -6]})
    out_df = df.rolling(3).quantile(0.25)

    # Expect DataFrame of
    # {'A': [NaN, NaN, 3.5, 2.5, 3.5], 'B': [NaN, NaN, -4.5, -4.0, -5.5]}
    return out_df


print(df_rolling_quantile())

$ python ./dataframe/rolling/dataframe_rolling_quantile.py
     A    B
NaN  NaN
NaN  NaN
3.5 -4.5
2.5 -4.0
3.5 -5.5

Navigation

pandas.core.window.Rolling.quantile¶

Limitations¶

Examples¶