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feat(rust, python): Support an ignore_nulls param for EWM calculations. (#5749) #6742

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merged 1 commit into from
Feb 9, 2023

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yuntai
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@yuntai yuntai commented Feb 9, 2023

  • ported pandas' ewm numba based code for supporting ignore_nulls
  • ewm_var & ewm_std is based on ewm_cov function which is not exposed to the API
    I am not familar with making a binary expression but ewm_cov can be readily added to the API

@github-actions github-actions bot added enhancement New feature or an improvement of an existing feature python Related to Python Polars rust Related to Rust Polars labels Feb 9, 2023
@yuntai yuntai force-pushed the ewm_ignore_nulls branch 2 times, most recently from f2f1169 to 578a87b Compare February 9, 2023 05:56
@alexander-beedie
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alexander-beedie commented Feb 9, 2023

@yuntai, @ritchie46: This is looking great; I've validated the calculation results (via parametric testing) and it ties-out nicely. Bonus points: seems it's ~20% faster 👍

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That's great to hear. Thanks @yuntai for PR and thanks @alexander-beedie for validating this as I am not really familiar with the algorithm. 👍

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3 participants