Created
November 9, 2015 16:14
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numpy rolling window
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| # from http://stackoverflow.com/a/6811241 | |
| def rolling_window(a, window): | |
| shape = a.shape[:-1] + (a.shape[-1] - window + 1, window) | |
| strides = a.strides + (a.strides[-1],) | |
| return np.lib.stride_tricks.as_strided(a, shape=shape, strides=strides) |
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