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View Code? Open in Web Editor NEWImplementation of Hampel filter in Python, including multiprocessor support, and interactive plotting with plotly and IPywidgets.
License: MIT License
Implementation of Hampel filter in Python, including multiprocessor support, and interactive plotting with plotly and IPywidgets.
License: MIT License
In my machine, the following demonstrates more than 100x speed-up.
import pandas as pd
import numpy as np
import timeit
import hampel # assumes `pip install hampel`
def much_faster_hampel(series, window_length, threshold=3):
# Please refer to [1] for `hampel_filter_forloop_numba` implementation.
# [1] https://gist.github.com/adrianomitre/2ced5544421eca031180782cc30798af
result, outlier_indices = hampel_filter_forloop_numba(series.values, window_length, threshold)
result[outlier_indices] = np.nan
return result
ts_len = 2**8
win_sz = 7
ts = pd.Series(np.random.rand(ts_len))
# causes JIT compilation
much_faster_hampel(ts, win_sz)
timeit.timeit(lambda: hampel.hampel(ts, win_sz), number=100)
timeit.timeit(lambda: much_faster_hampel(ts, win_sz), number=100)
Please refer to this gist for hampel_filter_forloop_numba
implementation.
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