tsa.stattools.ccovf()
statsmodels.tsa.stattools.ccovf
-
statsmodels.tsa.stattools.ccovf(x, y, unbiased=True, demean=True)
[source] -
crosscovariance for 1D
Parameters: x, y : arrays
time series data
unbiased : boolean
if True, then denominators is n-k, otherwise n
Returns: ccovf : array
autocovariance function
Notes
This uses np.correlate which does full convolution. For very long time series it is recommended to use fft convolution instead.
© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.tsa.stattools.ccovf.html