statsmodels.tsa.stattools.ccovf

statsmodels.tsa.stattools.ccovf(x, y, unbiased=True, demean=True)

crosscovariance for 1D

Parameters:

• y (x,) – time series data
• unbiased (boolean) – if True, then denominators is n-k, otherwise n

Returns:

ccovf – autocovariance function

Return type:

array

Notes

This uses np.correlate which does full convolution. For very long time series it is recommended to use fft convolution instead.