这比您的机器上的快速版本快34倍：
def rolling_window(a, window):
shape = a.shape[:-1] + (a.shape[-1] - window + 1, window)
strides = a.strides + (a.strides[-1],)
return np.lib.stride_tricks.as_strided(a, shape=shape, strides=strides)
>>> rolling_window(ts.values, 3)
array([[0, 1, 2],
[1, 2, 3],
[2, 3, 4],
[3, 4, 5],
[4, 5, 6],
[5, 6, 7],
[6, 7, 8],
[7, 8, 9]])
幸得埃里克Rigtorp。
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