statsmodels.tsa.stattools.ccovf¶
-
statsmodels.tsa.stattools.ccovf(x, y, unbiased=True, demean=True)[source]¶ crosscovariance for 1D
- Parameters
- x, yarrays
time series data
- unbiasedboolean
if True, then denominators is n-k, otherwise n
- Returns
- ccovfarray
autocovariance function
Notes
This uses np.correlate which does full convolution. For very long time series it is recommended to use fft convolution instead.