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