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sandbox.tsa.movstat.movvar()

statsmodels.sandbox.tsa.movstat.movvar

statsmodels.sandbox.tsa.movstat.movvar(x, windowsize=3, lag='lagged') [source]

moving window variance

Parameters:

x : array

time series data

windsize : int

window size

lag : ?lagged?, ?centered?, or ?leading?

location of window relative to current position

Returns:

mk : array

moving variance, with same shape as x

Links:

http://statsmodels.sourceforge.net/stable/generated/statsmodels.sandbox.tsa.movstat.movvar.html

doc_statsmodels

2017-01-18 16:16:08

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