Rolling standard deviation of data points time delta

Example of visualizing rolling standard deviation of time delta of time series data to identify dispersion in the ingestion of data.

Standard deviation of time delta
from datetime import datetime, timedelta

import matplotlib.pyplot as plt
import numpy as np
import pandas as pd

from indsl.data_quality.rolling_stddev import rolling_stddev_timedelta
from indsl.smooth import sma

data = pd.Series(1, index=pd.date_range(start="2022-01-01 10:00:00", end="2022-01-01 11:00:00", freq="1s")).sample(60)

data = data.sort_index()

time_window = pd.Timedelta(minutes=5)

# Calculate rolling standard deviation of time delta
stddev = rolling_stddev_timedelta(data, time_window=time_window).values

# Calculate rolling mean of time delta
mean = sma(data.index.to_series().diff().astype("timedelta64[s]").fillna(0), time_window="5min", min_periods=1)

# Plot standard deviation and mean
fig, ax = plt.subplots(figsize=(15, 5))
ax.title.set_text("Standard deviation of time delta")
ax.plot(data.index, stddev, label="Standard deviation", marker=".")
ax.plot(data.index, mean, label="Mean", marker=".")

values = np.arange(data.index[0], data.index[-1], timedelta(minutes=4)).astype(datetime)

ax.set_xticklabels([ts.strftime("%d-%m-%Y \n %H:%M:%S") for ts in values], fontsize=8)

legend = ax.legend(loc="upper right")

plt.ylabel("Standard deviation")

Total running time of the script: ( 0 minutes 2.000 seconds)

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