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Mar 22nd, 2019
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  1. def rolling(year1,year2):
  2. start = year1
  3. end = year2
  4. eigenvalues=[]
  5. eigenvectors=[]
  6. nomonth = (year2 - year1) * 12 - 5
  7. month=1
  8. year = year1
  9. for i in range(nomonth):
  10. if month == 12:
  11. df = mutualinformation(year,12,year+1,5)
  12. df_array = df.to_numpy()
  13. u,v = np.linalg.eig(df_array)
  14. u1 = []
  15. v1 = []
  16. u_sort = u
  17. u_sort.sort()
  18. for abc in u_sort:
  19. uabc = np.ndarray.tolist(u)
  20. index = uabc.index(abc)
  21. u1.append(u[index])
  22. v1.append(v[:,index])
  23. eigenvalues.append(u1)
  24. eigenvectors.append(v1)
  25. month = 1
  26. year +=1
  27. elif month >= 8:
  28. df = mutualinformation(year,month,year+1,month-7)
  29. df_array = df.to_numpy()
  30. u,v = np.linalg.eig(df_array)
  31. u1 = []
  32. v1 = []
  33. u_sort = u
  34. u_sort.sort()
  35. for abc in u_sort:
  36. uabc = np.ndarray.tolist(u)
  37. index = uabc.index(abc)
  38. u1.append(u[index])
  39. v1.append(v[:,index])
  40. eigenvalues.append(u1)
  41. eigenvectors.append(v1)
  42. month += 1
  43. else:
  44. df = mutualinformation(year,month,year,month+5)
  45. df_array = df.values
  46. u,v = np.linalg.eig(df_array)
  47. u1 = []
  48. v1 = []
  49. u_sort = u
  50. u_sort.sort()
  51. for abc in u_sort:
  52. uabc = np.ndarray.tolist(u)
  53. index = uabc.index(abc)
  54. u1.append(u[index])
  55. v1.append(v[:,index])
  56. eigenvalues.append(u1)
  57. eigenvectors.append(v1)
  58. month += 1
  59. return eigenvalues,eigenvectors
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