gs_quant.timeseries.statistics.winsorize

winsorize(x, limit=2.5, w=<gs_quant.timeseries.helper.Window object>)

Limit extreme values in series

Parameters:

• x (Series) – time series of prices

• limit (float) – max z-score of values

• w (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 winsorized values

Usage

Cap and floor values in the series which have a z-score greater or less than provided value. This function will restrict the distribution of values. Calculates the sample standard deviation and adjusts values which fall outside the specified range to be equal to the upper or lower limits

Lower and upper limits are defined as:

\(upper = \mu + \sigma \times limit\)

\(lower = \mu - \sigma \times limit\)

Where \(\mu\) and \(\sigma\) are sample mean and standard deviation. The series is restricted by:

\(R_t = max( min( X_t, upper), lower )\)

See winsorising for additional information

Examples

Generate price series and winsorize z-score of returns over \(22\) observations

>>> prices = generate_series(100)
>>> winsorize(zscore(returns(prices), 22))

See also

zscore() mean() std()