dycw-utilities 0.109.9__py3-none-any.whl → 0.109.10__py3-none-any.whl

{dycw_utilities-0.109.9.dist-info → dycw_utilities-0.109.10.dist-info}/METADATA

@@ -1,9 +1,10 @@
 Metadata-Version: 2.4
 Name: dycw-utilities
-Version: 0.109.9
+Version: 0.109.10
 Author-email: Derek Wan <d.wan@icloud.com>
 License-File: LICENSE
 Requires-Python: >=3.12
+Requires-Dist: polars-ols>=0.3.5
 Requires-Dist: typing-extensions<4.14,>=4.13.1
 Provides-Extra: test
 Requires-Dist: hypothesis<6.132,>=6.131.6; extra == 'test'

{dycw_utilities-0.109.9.dist-info → dycw_utilities-0.109.10.dist-info}/RECORD

@@ -1,4 +1,4 @@
-utilities/__init__.py,sha256=53_kiHhGqVZU7uWgI_AWTOmG7yG5Vbb_k-XsqiAMxyk,60
+utilities/__init__.py,sha256=rSepLbrv6OLPYSa8JNcDoi9ph_2-kk82P4d1Ebs7rTE,61
 utilities/altair.py,sha256=NSyDsm8QlkAGmsGdxVwCkHnPxt_35yJBa9Lg7bz9Ays,9054
 utilities/astor.py,sha256=xuDUkjq0-b6fhtwjhbnebzbqQZAjMSHR1IIS5uOodVg,777
 utilities/asyncio.py,sha256=41oQUurWMvadFK5gFnaG21hMM0Vmfn2WS6OpC0R9mas,14757
@@ -46,6 +46,7 @@ utilities/period.py,sha256=ikHXsWtDLr553cfH6p9mMaiCnIAP69B7q84ckWV3HaA,10884
 utilities/pickle.py,sha256=Bhvd7cZl-zQKQDFjUerqGuSKlHvnW1K2QXeU5UZibtg,657
 utilities/platform.py,sha256=NU7ycTvAXAG-fdYmDXaM1m4EOml2cGiaYwaUzfzSqyU,1767
 utilities/polars.py,sha256=nB2pfK8N8HRpPE_tdbiTfFGLWC_TekAqgHlYDhnUzAM,52169
+utilities/polars_ols.py,sha256=AQe3RFOMv8CEI_ZCoscb_-PxB4JWjO0TAEmk8DKLeaI,2138
 utilities/pqdm.py,sha256=foRytQybmOQ05pjt5LF7ANyzrIa--4ScDE3T2wd31a4,3118
 utilities/py.typed,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 utilities/pydantic.py,sha256=f6qtR5mO2YMuyvNmbaEj5YeD9eGA4YYfb7Bjzh9jUs0,1845
@@ -84,7 +85,7 @@ utilities/warnings.py,sha256=yUgjnmkCRf6QhdyAXzl7u0qQFejhQG3PrjoSwxpbHrs,1819
 utilities/whenever.py,sha256=TjoTAJ1R27-rKXiXzdE4GzPidmYqm0W58XydDXp-QZM,17786
 utilities/zipfile.py,sha256=24lQc9ATcJxHXBPc_tBDiJk48pWyRrlxO2fIsFxU0A8,699
 utilities/zoneinfo.py,sha256=-DQz5a0Ikw9jfSZtL0BEQkXOMC9yGn_xiJYNCLMiqEc,1989
-dycw_utilities-0.109.9.dist-info/METADATA,sha256=sh80SudoQ_j2lWexCpuls1seZsGjBvS7FlKhOLC6kIE,13004
-dycw_utilities-0.109.9.dist-info/WHEEL,sha256=qtCwoSJWgHk21S1Kb4ihdzI2rlJ1ZKaIurTj_ngOhyQ,87
-dycw_utilities-0.109.9.dist-info/licenses/LICENSE,sha256=gppZp16M6nSVpBbUBrNL6JuYfvKwZiKgV7XoKKsHzqo,1066
-dycw_utilities-0.109.9.dist-info/RECORD,,
+dycw_utilities-0.109.10.dist-info/METADATA,sha256=dn1-Yy6KJLMDkEyWztQtPMjCF7DKg5bjdo7wRbZA2oA,13038
+dycw_utilities-0.109.10.dist-info/WHEEL,sha256=qtCwoSJWgHk21S1Kb4ihdzI2rlJ1ZKaIurTj_ngOhyQ,87
+dycw_utilities-0.109.10.dist-info/licenses/LICENSE,sha256=gppZp16M6nSVpBbUBrNL6JuYfvKwZiKgV7XoKKsHzqo,1066
+dycw_utilities-0.109.10.dist-info/RECORD,,

utilities/__init__.py

@@ -1,3 +1,3 @@
 from __future__ import annotations
 
-__version__ = "0.109.9"
+__version__ = "0.109.10"

utilities/polars_ols.py

@@ -0,0 +1,71 @@
+from __future__ import annotations
+
+from typing import TYPE_CHECKING
+
+from polars import struct
+from polars_ols import RollingKwargs, compute_rolling_least_squares
+
+from utilities.polars import ensure_expr_or_series
+
+if TYPE_CHECKING:
+    from polars import Expr
+    from polars_ols import NullPolicy
+
+    from utilities.polars import ExprLike
+
+
+def compute_rolling_ols(
+    target: ExprLike,
+    *features: ExprLike,
+    sample_weights: ExprLike | None = None,
+    add_intercept: bool = False,
+    null_policy: NullPolicy = "drop_window",
+    window_size: int = 1000000,
+    min_periods: int | None = None,
+    use_woodbury: bool | None = None,
+    alpha: float | None = None,
+) -> Expr:
+    """Compute a rolling OLS."""
+    target = ensure_expr_or_series(target)
+    rolling_kwargs = RollingKwargs(
+        null_policy=null_policy,
+        window_size=window_size,
+        min_periods=min_periods,
+        use_woodbury=use_woodbury,
+        alpha=alpha,
+    )
+    coefficients = compute_rolling_least_squares(
+        target,
+        *features,
+        sample_weights=sample_weights,
+        add_intercept=add_intercept,
+        mode="coefficients",
+        rolling_kwargs=rolling_kwargs,
+    ).alias("coefficients")
+    predictions = compute_rolling_least_squares(
+        target,
+        *features,
+        sample_weights=sample_weights,
+        add_intercept=add_intercept,
+        mode="predictions",
+        rolling_kwargs=rolling_kwargs,
+    ).alias("predictions")
+    residuals = compute_rolling_least_squares(
+        target,
+        *features,
+        sample_weights=sample_weights,
+        add_intercept=add_intercept,
+        mode="residuals",
+        rolling_kwargs=rolling_kwargs,
+    ).alias("residuals")
+    ssr = (residuals**2).rolling_sum(window_size, min_samples=min_periods).alias("SSR")
+    sst = (
+        ((target - target.rolling_mean(window_size, min_samples=min_periods)) ** 2)
+        .rolling_sum(window_size, min_samples=min_periods)
+        .alias("SST")
+    )
+    r2 = (1 - ssr / sst).alias("R2")
+    return struct(coefficients, predictions, residuals, r2).alias("ols")
+
+
+__all__ = ["compute_rolling_ols"]