Hello,
I am successfully using the new Pandas library for series and matrix analysis
using 2 dimensional arrays. I am using the "fromDict" method which works well,
and I am creating 2-dimensional arrays where each axis is indexed by FX
currency names. So for example pandas DataFrame called aa:
>>> aa.columns
Index([AUDUSD, EURCHF, EURCZK, EURHUF, EURPLN, EURSEK, EURUSD, GBPUSD,
NZDUSD, USDBRL, USDCAD, USDCLP, USDILS, USDJPY, USDKRW, USDMXN,
USDRUB, USDSGD, USDTRY, USDTWD, USDZAR], dtype=object)
>>> aa.rows
<bound method DataFrame.rows of <class 'pandas.core.frame.DataFrame'>
Index: 21 entries, AUDUSD to USDZAR
Data columns:
AUDUSD 20 non-null values
EURCHF 20 non-null values
EURCZK 20 non-null values
EURHUF 20 non-null values
EURPLN 20 non-null values
EURSEK 20 non-null values
EURUSD 20 non-null values
GBPUSD 20 non-null values
NZDUSD 20 non-null values
USDBRL 20 non-null values
USDCAD 20 non-null values
USDCLP 20 non-null values
USDILS 20 non-null values
USDJPY 20 non-null values
USDKRW 20 non-null values
USDMXN 20 non-null values
USDRUB 20 non-null values
USDSGD 20 non-null values
USDTRY 20 non-null values
USDTWD 20 non-null values
USDZAR 20 non-null values
>
>>> aa['USDZAR']['USDTWD']
1.2711725043942563
>>>
(each cell contains the number of standard errors of today's prices in the
linear regression of the two currency pairs). Now I want to create a 3
dimensional stack of these aa-style matrices, where the z axis is indexed by
historical dates. IE one matrix for each date, from today, going back 2 years.
What is the best pandas function for doing this? Is it pandas.WidePanel or
pandas.LongPanel, and how do I use these functions to construct this 3d stack?
(I would ideally like to append each 2d matrix to the 3d stack as I create each
one).
Thanks for the help...... unfortunately can't find this in the online docs.
Tom
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