statsmodels.sandbox.tsa.movstat.movorder¶

statsmodels.sandbox.tsa.movstat.movorder(x, order='med', windsize=3, lag='lagged')[source]¶

moving order statistics

Parameters:¶

x : ndarray¶

time series data

order : float or 'med', 'min', 'max'¶

which order statistic to calculate

windsize : int¶

window size

lag : 'lagged', 'centered', or 'leading'¶

location of window relative to current position

Return type:¶

filtered array