statsmodels.tsa.stattools.ccovf
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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.
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