gs_quant.timeseries.statistics.max_¶
-
max_
(x, w=<gs_quant.timeseries.helper.Window object>)[source]¶ Maximum value of series over given window
- Parameters
x (
Union
[Series
,List
[Series
]]) – series: a timeseries or an array of timeseriesw (
Union
[Window
,int
,str
]) – Window or int: size of window and ramp up to use. e.g. Window(22, 10) where 22 is the window size and 10 the ramp up value. If w is a string, it should be a relative date like ‘1m’, ‘1d’, etc. Window size defaults to length of series.
- Return type
Series
- Returns
timeseries of maximum value
Usage
Returns the maximum value of the series over each window.
If \(x\) is a series:
\(R_t = max(X_{t-w+1}:X_t)\)
where \(w\) is the size of the rolling window.
If \(x\) is an array of series:
\(R_t = max(X_{1, t-w+1}:X_{n, t})\)
where \(w\) is the size of the rolling window, and \(n\) is the number of series.
If window is not provided, returns the maximum value over the full series. If the window size is greater than the available data, will return maximum of available values.
Examples
Maximum value of price series over the last \(22\) observations:
>>> prices = generate_series(100) >>> max_(prices, 22)
See also