statsmodels.tsa.stattools.ccovf

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

Calculate the cross-covariance between two series.

Parameters:
x, yarray_like

The time series data to use in the calculation.

adjustedbool, optional

If True, then denominators for cross-covariance are n-k, otherwise n.

demeanbool, optional

Flag indicating whether to demean x and y.

fftbool, default True

If True, use FFT convolution. This method should be preferred for long time series.

Returns:
ndarray

The estimated cross-covariance function: the element at index k is the covariance between {x[k], x[k+1], …, x[n]} and {y[0], y[1], …, y[m-k]}, where n and m are the lengths of x and y, respectively.


Last update: Apr 12, 2024