statsmodels.sandbox.tsa.movstat.movorder

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

moving order statistics

Parameters
xarray

time series data

orderfloat or ‘med’, ‘min’, ‘max’

which order statistic to calculate

windsizeint

window size

lag‘lagged’, ‘centered’, or ‘leading’

location of window relative to current position

Returns
filtered array