statsmodels.sandbox.tsa.movstat.movvar

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

moving window variance

Parameters:
xndarray

time series data

windsizeint

window size

lag‘lagged’, ‘centered’, or ‘leading’

location of window relative to current position

Returns:
mkndarray

moving variance, with same shape as x


Last update: Jul 16, 2024