Weighted moving average in python

Question

I have data sampled at essentially random intervals. I would like to compute a weighted moving average using numpy (or other python package). I have a crude implementation of a moving average, but I am having trouble finding a good way to do a weighted moving average, so that the values towards the center of the bin are weighted more than values towards the edges.

Here I generate some sample data and then take a moving average. How can I most easily implement a weighted moving average? Thanks!

import numpy as np
import matplotlib.pyplot as plt

#first generate some datapoint for a randomly sampled noisy sinewave
x = np.random.random(1000)*10
noise = np.random.normal(scale=0.3,size=len(x))
y = np.sin(x) + noise

#plot the data
plt.plot(x,y,'ro',alpha=0.3,ms=4,label='data')
plt.xlabel('Time')
plt.ylabel('Intensity')

#define a moving average function
def moving_average(x,y,step_size=.1,bin_size=1):
    bin_centers  = np.arange(np.min(x),np.max(x)-0.5*step_size,step_size)+0.5*step_size
    bin_avg = np.zeros(len(bin_centers))

    for index in range(0,len(bin_centers)):
        bin_center = bin_centers[index]
        items_in_bin = y[(x>(bin_center-bin_size*0.5) ) & (x<(bin_center+bin_size*0.5))]
        bin_avg[index] = np.mean(items_in_bin)

    return bin_centers,bin_avg

#plot the moving average
bins, average = moving_average(x,y)
plt.plot(bins, average,label='moving average')

plt.show()

The output:

Using the advice from crs17 to use "weights=" in the np.average function, I came up weighted average function, which uses a Gaussian function to weight the data:

def weighted_moving_average(x,y,step_size=0.05,width=1):
    bin_centers  = np.arange(np.min(x),np.max(x)-0.5*step_size,step_size)+0.5*step_size
    bin_avg = np.zeros(len(bin_centers))

    #We're going to weight with a Gaussian function
    def gaussian(x,amp=1,mean=0,sigma=1):
        return amp*np.exp(-(x-mean)**2/(2*sigma**2))

    for index in range(0,len(bin_centers)):
        bin_center = bin_centers[index]
        weights = gaussian(x,mean=bin_center,sigma=width)
        bin_avg[index] = np.average(y,weights=weights)

    return (bin_centers,bin_avg)

Results look good:

Answer 1

You could use numpy.average which allows you to specify weights:

>>> bin_avg[index] = np.average(items_in_bin, weights=my_weights)

So to calculate the weights you could find the x coordinates of each data point in the bin and calculate their distances to the bin center.

Answer 2

This won't give an exact solution, but it will make your life easier, and will probably be good enough... First, average your samples in small bins. Once you have resampled your data to be equispaced, you can use stride tricks and np.average to do a weighted average:

from numpy.lib.stride_tricks import as_strided

def moving_weighted_average(x, y, step_size=.1, steps_per_bin=10,
                            weights=None):
    # This ensures that all samples are within a bin
    number_of_bins = int(np.ceil(np.ptp(x) / step_size))
    bins = np.linspace(np.min(x), np.min(x) + step_size*number_of_bins,
                       num=number_of_bins+1)
    bins -= (bins[-1] - np.max(x)) / 2
    bin_centers = bins[:-steps_per_bin] + step_size*steps_per_bin/2

    counts, _ = np.histogram(x, bins=bins)
    vals, _ = np.histogram(x, bins=bins, weights=y)
    bin_avgs = vals / counts
    n = len(bin_avgs)
    windowed_bin_avgs = as_strided(bin_avgs,
                                   (n-steps_per_bin+1, steps_per_bin),
                                   bin_avgs.strides*2)

    weighted_average = np.average(windowed_bin_avgs, axis=1, weights=weights)

    return bin_centers, weighted_average

You can now do something like this:

#plot the moving average with triangular weights
weights = np.concatenate((np.arange(0, 5), np.arange(0, 5)[::-1]))
bins, average = moving_weighted_average(x, y, steps_per_bin=len(weights),
                                        weights=weights)
plt.plot(bins, average,label='moving average')

plt.show()