gs_quant.timeseries.algebra.smooth_spikes¶
-
smooth_spikes
(x, threshold)[source]¶ Smooth out the spikes of a series. If a point is larger/smaller than (1 +/- threshold) times both neighbors, replace it with the average of those neighbours. Note: the first and last points in the input series are dropped.
- Parameters
x (
Series
) – timeseriesthreshold (
float
) – minimum increment to trigger filter
- Return type
Series
- Returns
smoothed timeseries
Usage
Returns series where values that exceed the threshold relative to both neighbors are replaced.
Examples
Generate price series and smooth spikes over a threshold of 0.5.
>>> prices = generate_series(100) >>> smooth_spikes(prices, 0.5)
See also
exponential_moving_average()