Add interpolation options to rolling quantile

asv_bench/benchmarks/rolling.py

@@ -22,6 +22,7 @@ def setup(self, constructor, window, dtype, method):
     def time_rolling(self, constructor, window, dtype, method):
         getattr(self.roll, method)()
 
+
 class VariableWindowMethods(Methods):
     sample_time = 0.2
     params = (['DataFrame', 'Series'],
@@ -37,6 +38,7 @@ def setup(self, constructor, window, dtype, method):
         index = pd.date_range('2017-01-01', periods=N, freq='5s')
         self.roll = getattr(pd, constructor)(arr, index=index).rolling(window)
 
+
 class Pairwise(object):
 
     sample_time = 0.2
@@ -59,18 +61,19 @@ def time_pairwise(self, window, method, pairwise):
 
 
 class Quantile(object):
-
     sample_time = 0.2
     params = (['DataFrame', 'Series'],
               [10, 1000],
               ['int', 'float'],
-              [0, 0.5, 1])
+              [0, 0.5, 1],
+              ['linear', 'nearest', 'lower', 'higher', 'midpoint'])
     param_names = ['constructor', 'window', 'dtype', 'percentile']
 
-    def setup(self, constructor, window, dtype, percentile):
-        N = 10**5
+    def setup(self, constructor, window, dtype, percentile, interpolation):
+        N = 10 ** 5
         arr = np.random.random(N).astype(dtype)
         self.roll = getattr(pd, constructor)(arr).rolling(window)
 
-    def time_quantile(self, constructor, window, dtype, percentile):
-        self.roll.quantile(percentile)
+    def time_quantile(self, constructor, window, dtype, percentile,
+                      interpolation):
+        self.roll.quantile(percentile, interpolation=interpolation)

doc/source/whatsnew/v0.23.0.txt

@@ -443,6 +443,7 @@ Other Enhancements
 - :meth:`DataFrame.to_sql` now performs a multivalue insert if the underlying connection supports itk rather than inserting row by row.
   ``SQLAlchemy`` dialects supporting multivalue inserts include: ``mysql``, ``postgresql``, ``sqlite`` and any dialect with ``supports_multivalues_insert``. (:issue:`14315`, :issue:`8953`)
 - :func:`read_html` now accepts a ``displayed_only`` keyword argument to controls whether or not hidden elements are parsed (``True`` by default) (:issue:`20027`)
+- :meth:`Rolling.quantile` and :meth:`Expanding.quantile` now accept the ``interpolation`` keyword, ``linear`` by default (:issue:`20497`)
 - zip compression is supported via ``compression=zip`` in :func:`DataFrame.to_pickle`, :func:`Series.to_pickle`, :func:`DataFrame.to_csv`, :func:`Series.to_csv`, :func:`DataFrame.to_json`, :func:`Series.to_json`. (:issue:`17778`)
 - :class:`WeekOfMonth` constructor now supports ``n=0`` (:issue:`20517`).
 - :class:`DataFrame` and :class:`Series` now support matrix multiplication (```@```) operator (:issue:`10259`) for Python>=3.5

pandas/_libs/window.pyx

@@ -1357,77 +1357,129 @@ cdef _roll_min_max(ndarray[numeric] input, int64_t win, int64_t minp,
     return output
 
 
+cdef enum InterpolationType:
+    LINEAR,
+    LOWER,
+    HIGHER,
+    NEAREST,
+    MIDPOINT
+
+
+interpolation_types = {
+    'linear': LINEAR,
+    'lower': LOWER,
+    'higher': HIGHER,
+    'nearest': NEAREST,
+    'midpoint': MIDPOINT,
+}
+
+
 def roll_quantile(ndarray[float64_t, cast=True] input, int64_t win,
                   int64_t minp, object index, object closed,
-                  double quantile):
+                  double quantile, str interpolation):
     """
     O(N log(window)) implementation using skip list
     """
     cdef:
-        double val, prev, midpoint
-        IndexableSkiplist skiplist
+        double val, prev, midpoint, idx_with_fraction
+        skiplist_t *skiplist
         int64_t nobs = 0, i, j, s, e, N
         Py_ssize_t idx
         bint is_variable
         ndarray[int64_t] start, end
         ndarray[double_t] output
         double vlow, vhigh
+        InterpolationType interpolation_type
+        int ret = 0
 
     if quantile <= 0.0 or quantile >= 1.0:
         raise ValueError("quantile value {0} not in [0, 1]".format(quantile))
 
+    try:
+        interpolation_type = interpolation_types[interpolation]
+    except KeyError:
+        raise ValueError("Interpolation '{}' is not supported"
+                         .format(interpolation))
+
     # we use the Fixed/Variable Indexer here as the
     # actual skiplist ops outweigh any window computation costs
     start, end, N, win, minp, is_variable = get_window_indexer(
         input, win,
         minp, index, closed,
         use_mock=False)
     output = np.empty(N, dtype=float)
-    skiplist = IndexableSkiplist(win)
-
-    for i in range(0, N):
-        s = start[i]
-        e = end[i]
-
-        if i == 0:
-
-            # setup
-            val = input[i]
-            if val == val:
-                nobs += 1
-                skiplist.insert(val)
+    skiplist = skiplist_init(<int>win)
+    if skiplist == NULL:
+        raise MemoryError("skiplist_init failed")
 
-        else:
+    with nogil:
+        for i in range(0, N):
+            s = start[i]
+            e = end[i]
 
-            # calculate deletes
-            for j in range(start[i - 1], s):
-                val = input[j]
-                if val == val:
-                    skiplist.remove(val)
-                    nobs -= 1
+            if i == 0:
 
-            # calculate adds
-            for j in range(end[i - 1], e):
-                val = input[j]
+                # setup
+                val = input[i]
                 if val == val:
                     nobs += 1
-                    skiplist.insert(val)
+                    skiplist_insert(skiplist, val)
 
-        if nobs >= minp:
-            idx = int(quantile * <double>(nobs - 1))
+            else:
 
-            # Single value in skip list
-            if nobs == 1:
-                output[i] = skiplist.get(0)
+                # calculate deletes
+                for j in range(start[i - 1], s):
+                    val = input[j]
+                    if val == val:
+                        skiplist_remove(skiplist, val)
+                        nobs -= 1
 
-            # Interpolated quantile
+                # calculate adds
+                for j in range(end[i - 1], e):
+                    val = input[j]
+                    if val == val:
+                        nobs += 1
+                        skiplist_insert(skiplist, val)
+
+            if nobs >= minp:
+                if nobs == 1:
+                    # Single value in skip list
+                    output[i] = skiplist_get(skiplist, 0, &ret)
+                else:
+                    idx_with_fraction = quantile * (nobs - 1)
+                    idx = <int> idx_with_fraction
+
+                    if idx_with_fraction == idx:
+                        # no need to interpolate
+                        output[i] = skiplist_get(skiplist, idx, &ret)
+                        continue
+
+                    if interpolation_type == LINEAR:
+                        vlow = skiplist_get(skiplist, idx, &ret)
+                        vhigh = skiplist_get(skiplist, idx + 1, &ret)
+                        output[i] = ((vlow + (vhigh - vlow) *
+                                      (idx_with_fraction - idx)))
+                    elif interpolation_type == LOWER:
+                        output[i] = skiplist_get(skiplist, idx, &ret)
+                    elif interpolation_type == HIGHER:
+                        output[i] = skiplist_get(skiplist, idx + 1, &ret)
+                    elif interpolation_type == NEAREST:
+                        # the same behaviour as round()
+                        if idx_with_fraction - idx == 0.5:
+                            if idx % 2 == 0:
+                                output[i] = skiplist_get(skiplist, idx, &ret)
+                            else:
+                                output[i] = skiplist_get(skiplist, idx + 1, &ret)
+                        elif idx_with_fraction - idx < 0.5:
+                            output[i] = skiplist_get(skiplist, idx, &ret)
+                        else:
+                            output[i] = skiplist_get(skiplist, idx + 1, &ret)
+                    elif interpolation_type == MIDPOINT:
+                        vlow = skiplist_get(skiplist, idx, &ret)
+                        vhigh = skiplist_get(skiplist, idx + 1, &ret)
+                        output[i] = <double> (vlow + vhigh) / 2
             else:
-                vlow = skiplist.get(idx)
-                vhigh = skiplist.get(idx + 1)
-                output[i] = ((vlow + (vhigh - vlow) *
-                             (quantile * (nobs - 1) - idx)))
-        else:
-            output[i] = NaN
+                output[i] = NaN
 
     return output
 

pandas/core/frame.py

@@ -7079,6 +7079,10 @@ def quantile(self, q=0.5, axis=0, numeric_only=True,
                a     b
         0.1  1.3   3.7
         0.5  2.5  55.0
+
+        See Also
+        --------
+        pandas.core.window.Rolling.quantile
         """
         self._check_percentile(q)
 

pandas/core/series.py

@@ -1855,6 +1855,9 @@ def quantile(self, q=0.5, interpolation='linear'):
         0.75    3.25
         dtype: float64
 
+        See Also
+        --------
+        pandas.core.window.Rolling.quantile
         """
 
         self._check_percentile(q)

pandas/core/window.py

@@ -1276,9 +1276,53 @@ def kurt(self, **kwargs):
     Parameters
     ----------
     quantile : float
-        0 <= quantile <= 1""")
+        0 <= quantile <= 1
+    interpolation : {'linear', 'lower', 'higher', 'midpoint', 'nearest'}
+        .. versionadded:: 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.
+
+    Returns
+    -------
+    Series or DataFrame
+        Returned object type is determined by the caller of the %(name)s
+        calculation.
+
+    Examples
+    --------
+    >>> s = Series([1, 2, 3, 4])
+    >>> s.rolling(2).quantile(.4, interpolation='lower')
+    0    NaN
+    1    1.0
+    2    2.0
+    3    3.0
+    dtype: float64
+
+    >>> s.rolling(2).quantile(.4, interpolation='midpoint')
+    0    NaN
+    1    1.5
+    2    2.5
+    3    3.5
+    dtype: float64
+
+    See Also
+    --------
+    pandas.Series.quantile : Computes value at the given quantile over all data
+        in Series.
+    pandas.DataFrame.quantile : Computes values at the given quantile over
+        requested axis in DataFrame.
+
+    """)
 
-    def quantile(self, quantile, **kwargs):
+    def quantile(self, quantile, interpolation='linear', **kwargs):
         window = self._get_window()
         index, indexi = self._get_index()
 
@@ -1292,7 +1336,8 @@ def f(arg, *args, **kwargs):
                                         self.closed)
             else:
                 return _window.roll_quantile(arg, window, minp, indexi,
-                                             self.closed, quantile)
+                                             self.closed, quantile,
+                                             interpolation)
 
         return self._apply(f, 'quantile', quantile=quantile,
                            **kwargs)
@@ -1613,8 +1658,10 @@ def kurt(self, **kwargs):
     @Substitution(name='rolling')
     @Appender(_doc_template)
     @Appender(_shared_docs['quantile'])
-    def quantile(self, quantile, **kwargs):
-        return super(Rolling, self).quantile(quantile=quantile, **kwargs)
+    def quantile(self, quantile, interpolation='linear', **kwargs):
+        return super(Rolling, self).quantile(quantile=quantile,
+                                             interpolation=interpolation,
+                                             **kwargs)
 
     @Substitution(name='rolling')
     @Appender(_doc_template)
@@ -1872,8 +1919,10 @@ def kurt(self, **kwargs):
     @Substitution(name='expanding')
     @Appender(_doc_template)
     @Appender(_shared_docs['quantile'])
-    def quantile(self, quantile, **kwargs):
-        return super(Expanding, self).quantile(quantile=quantile, **kwargs)
+    def quantile(self, quantile, interpolation='linear', **kwargs):
+        return super(Expanding, self).quantile(quantile=quantile,
+                                               interpolation=interpolation,
+                                               **kwargs)
 
     @Substitution(name='expanding')
     @Appender(_doc_template)

pandas/tests/test_window.py

@@ -6,6 +6,7 @@
 from datetime import datetime, timedelta
 from numpy.random import randn
 import numpy as np
+from pandas import _np_version_under1p12
 
 import pandas as pd
 from pandas import (Series, DataFrame, bdate_range,
@@ -1166,15 +1167,40 @@ def test_rolling_quantile_np_percentile(self):
 
         tm.assert_almost_equal(df_quantile.values, np.array(np_percentile))
 
-    def test_rolling_quantile_series(self):
-        # #16211: Tests that rolling window's quantile default behavior
-        # is analogus to Series' quantile
-        arr = np.arange(100)
-        s = Series(arr)
-        q1 = s.quantile(0.1)
-        q2 = s.rolling(100).quantile(0.1).iloc[-1]
+    @pytest.mark.skipif(_np_version_under1p12,
+                        reason='numpy midpoint interpolation is broken')
+    @pytest.mark.parametrize('quantile', [0.0, 0.1, 0.45, 0.5, 1])
+    @pytest.mark.parametrize('interpolation', ['linear', 'lower', 'higher',
+                                               'nearest', 'midpoint'])
+    @pytest.mark.parametrize('data', [[1., 2., 3., 4., 5., 6., 7.],
+                                      [8., 1., 3., 4., 5., 2., 6., 7.],
+                                      [0., np.nan, 0.2, np.nan, 0.4],
+                                      [np.nan, np.nan, np.nan, np.nan],
+                                      [np.nan, 0.1, np.nan, 0.3, 0.4, 0.5],
+                                      [0.5], [np.nan, 0.7, 0.6]])
+    def test_rolling_quantile_interpolation_options(self, quantile,
+                                                    interpolation, data):
+        # Tests that rolling window's quantile behavior is analogous to
+        # Series' quantile for each interpolation option
+        s = Series(data)
+
+        q1 = s.quantile(quantile, interpolation)
+        q2 = s.expanding(min_periods=1).quantile(
+            quantile, interpolation).iloc[-1]
+
+        if np.isnan(q1):
+            assert np.isnan(q2)
+        else:
+            assert q1 == q2
+
+    def test_invalid_quantile_value(self):
+        data = np.arange(5)
+        s = Series(data)
 
-        tm.assert_almost_equal(q1, q2)
+        with pytest.raises(ValueError, match="Interpolation 'invalid'"
+                                             " is not supported"):
+            s.rolling(len(data), min_periods=1).quantile(
+                0.5, interpolation='invalid')
 
     def test_rolling_quantile_param(self):
         ser = Series([0.0, .1, .5, .9, 1.0])