statsmodels.sandbox.tsa.movstat.movmoment

statsmodels.sandbox.tsa.movstat.movmoment(x, k, windowsize=3, lag='lagged')

non-central moment

Parameters:

xndarray

time series data

windsizeint

window size

lag‘lagged’, ‘centered’, or ‘leading’

location of window relative to current position

Returns:

mkndarray

k-th moving non-central moment, with same shape as x

Notes

If data x is 2d, then moving moment is calculated for each column.