Speeding up outliers check on a pandas Series

Question

I am running an outlier check on a pandas Series object with two passes using different standard deviation criteria. However, I use two loops for that and it run extremely slow. I wonder if there is any pandas "tricks" to speed-up this step.

Here is the code I am using (warning really ugly code!):

def find_outlier(point, window, n):
    return np.abs(point - nanmean(window)) >= n * nanstd(window)

def despike(self, std1=2, std2=20, block=100, keep=0):
    res = self.values.copy()
    # First run with std1:
    for k, point in enumerate(res):
        if k <= block:
            window = res[k:k + block]
        elif k >= len(res) - block:
            window = res[k - block:k]
        else:
            window = res[k - block:k + block]
        window = window[~np.isnan(window)]
        if np.abs(point - window.mean()) >= std1 * window.std():
            res[k] = np.NaN
    # Second run with std2:
    for k, point in enumerate(res):
        if k <= block:
            window = res[k:k + block]
        elif k >= len(res) - block:
            window = res[k - block:k]
        else:
            window = res[k - block:k + block]
        window = window[~np.isnan(window)]
        if np.abs(point - window.mean()) >= std2 * window.std():
            res[k] = np.NaN
    return Series(res, index=self.index, name=self.name)

Zelazny7 · Accepted Answer · 2013-02-25T20:26:17.707

I'm not sure what you're doing with that block piece, but finding outliers in a Series should be as easy as:

In [1]: s > s.std() * 3

Where s is your series and 3 ishow many standard deviations to exceed for outlier status. This expression will return a series of boolean values that you can then index the series by:

In [2]: s.head(10)
Out[2]:
0    1.181462
1   -0.112049
2    0.864603
3   -0.220569
4    1.985747
5    4.000000
6   -0.632631
7   -0.397940
8    0.881585
9    0.484691
Name: val

In [3]: s[s > s.std() * 3]
Out[3]:
5    4
Name: val

UPDATE:

Addressing the comment about block. I think you can use pd.rolling_std() in this case:

In [53]: pd.rolling_std(s, window=5).head(10)
Out[53]:
0         NaN
1         NaN
2         NaN
3         NaN
4    0.871541
5    0.925348
6    0.920313
7    0.370928
8    0.467932
9    0.391485

In [55]: abs(s) > pd.rolling_std(s, window=5) * 3

Docstring:
Unbiased moving standard deviation

Parameters
----------
arg : Series, DataFrame
window : Number of observations used for calculating statistic
min_periods : int
    Minimum number of observations in window required to have a value
freq : None or string alias / date offset object, default=None
    Frequency to conform to before computing statistic
    time_rule is a legacy alias for freq

Returns
-------
y : type of input argument

Hi Zelazny7. The block is becuase I need each point to be compared with just 100 points from away from it and not the whole Series. That's why I need the loop. — ocefpaf, Feb 25 '13 at 20:13
Beware, this solution makes the assumption that the data is zero-centered. A slightly more accurate answer: abs(s - s.mean()) > pd.rolling_std(s, window=5) * 3 — MarkAWard, Jul 15 '14 at 16:52

Speeding up outliers check on a pandas Series

1 Answers1