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How Does Polars .rolling Scale With The Number of Columns?
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How Does Polars .rolling Scale With The Number of Columns?

Last Updated on December 11, 2023 by Editorial Team

Author(s): Yousef Nami

Originally published on Towards AI.

A prelude to calculating Variograms using Polars
Photo by Yiorgos from Unsplash.

For some time, I’ve been reading about Variograms [1]. This is a visualization tool used in Geostatistics to see how a specific quantity varies with space. It can act as a really good diagnostic tool, helping answer the following questions:

Is there some distance d from a point xi where we no longer gain any informational value from xi ?Is there cyclicity in the measurement as a function of distance?

I’ve been curious to apply this theory to time series data, particularly because compared with timeseries-specific methods such as autocorrelation [2], a Variogram is valid for missing or unevenly spaced data (which is a characteristic of real time series data), and can be extended to higher dimensions [3, 4].

The issue with Variograms is that they are computationally expensive. However, I’ve recently been playing around with polars and thought that the rolling [5] method and/or expression lend themselves nicely to the variogram algorithm. The tricky bit is that variogram’s scale with the number of lags, so I wanted to quickly see if there is a significant performance decrease when using Expr.rolling [6] for a large number of columns.

The algorithm for a variogram is relatively simple [1]:

Where h is the… Read the full blog for free on Medium.

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