algo.py 文件源码

def apply_half_life(self, time_series):
        lag = np.roll(time_series, 1)
        lag[0] = 0
        ret = time_series - lag
        ret[0] = 0

        # adds intercept terms to X variable for regression
        lag2 = sm.add_constant(lag)

        model = sm.OLS(ret, lag2)
        res = model.fit()

        self.half_life = -np.log(2) / res.params[1]