statsmodels.sandbox.tsa.movstat.movorder

statsmodels.sandbox.tsa.movstat.movorder(x, order='med', windsize=3, lag='lagged')

moving order statistics

Parameters:

• x (array) – time series data
• order (float or 'med', 'min', 'max') – which order statistic to calculate
• windsize (int) – window size
• lag ('lagged', 'centered', or 'leading') – location of window relative to current position

Returns:

Return type:

filtered array