statsmodels.sandbox.tsa.movstat.movvar

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

moving window variance

Parameters:

• x (array) – time series data
• windsize (int) – window size
• lag ('lagged', 'centered', or 'leading') – location of window relative to current position

Returns:

mk – moving variance, with same shape as x

Return type:

array