statsmodels.sandbox.tsa.movstat.movvar¶

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

moving window variance

Parameters:¶

x : ndarray¶

time series data

windsize : int

window size

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

location of window relative to current position

Returns:¶

mk – moving variance, with same shape as x

Return type:¶

ndarray