pydata / bottleneck

Fast NumPy array functions written in C
BSD 2-Clause "Simplified" License
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[Enhancement] Add move_skew and move_kurt #415

Open jkadbear opened 2 years ago

jkadbear commented 2 years ago

I tried to implement moving window skewness and kurtosis on this project. However, simply applying the technique used in move_std/move_var is not numerically stable due to the third/fourth power needed in skewneww/kurtosis. Are there any methods to reduce the float error?

OldChi commented 1 year ago

I agree. Hope there will be more built-in functions. e.g. move_skew, move_kurt, move_mode. Although I implemented algorithms with best time complexity, the speed is still limited since I'm only writing python.

kaixiongg commented 11 months ago

something like that: https://www.johndcook.com/blog/skewness_kurtosis/