statsmodels.tsa.stattools.ccovf

statsmodels.tsa.stattools.ccovf(x, y, unbiased=True, demean=True)[source]

crosscovariance for 1D

Parameters
  • y (x,) – time series data

  • unbiased (boolean) – if True, then denominators is n-k, otherwise n

Returns

ccovf – autocovariance function

Return type

array

Notes

This uses np.correlate which does full convolution. For very long time series it is recommended to use fft convolution instead.