2021-12-28 22:50:09 +01:00
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from fracdiff.sklearn import FracdiffStat
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import pandas as pd
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import numpy as np
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2022-02-17 19:22:17 +01:00
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2022-01-26 23:22:43 +01:00
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def feature_fractional_differentiation(df: pd.DataFrame, period: int) -> pd.Series:
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2022-02-17 19:22:17 +01:00
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frac_diff = FracdiffStat(window=period)
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2021-12-28 22:50:09 +01:00
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input_series = df["close"].to_numpy().reshape(-1, 1)
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2022-01-03 13:57:36 +01:00
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result = frac_diff.fit_transform(input_series)
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2022-02-17 19:22:17 +01:00
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return pd.Series(result.squeeze(), index=df.index)
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