orthogonalize

orthogonalize(frame, *factors, name=None, metadata=None)

Return row-wise residuals after projecting values onto factors.

Parameters

frame : Panel | Graph

Input numeric Panel or single-output Graph. factors : Panel | Graph

One or more factor Panel or single-output Graph inputs. name : str | None, default None

Optional graph-node name. A generated name is used when omitted. metadata : Mapping[str, Any] | None, default None

Optional metadata stored on the graph node.

Returns

Graph

Lazy single-output graph. Call .compute() to materialize a Panel.

Examples

import pandas as pd

from bagelquant_core import Domain, Panel
from bagelquant_core.composer import orthogonalize

domain = Domain(calendar=pd.to_datetime(["2024-01-02"]), universe=["a", "b", "c"])
factor = Panel.from_domain(pd.DataFrame({"a": [1.0], "b": [3.0], "c": [5.0]}, index=domain.sessions), domain)
size = Panel.from_domain(pd.DataFrame({"a": [0.0], "b": [1.0], "c": [2.0]}, index=domain.sessions), domain)

result = orthogonalize(factor, size).compute().data
print(result)

Notes

Inputs are aligned by index and columns before the operation runs.