statsmodels.tsa.stattools.ccf¶
-
statsmodels.tsa.stattools.
ccf
(x, y, unbiased=True)[source]¶ The cross-correlation function.
- Parameters
- x, yarray_like
The time series data to use in the calculation.
- unbiasedbool
If True, then denominators for autocovariance is n-k, otherwise n.
- Returns
ndarray
The cross-correlation function of x and y.
Notes
This is based np.correlate which does full convolution. For very long time series it is recommended to use fft convolution instead.
If unbiased is true, the denominator for the autocovariance is adjusted but the autocorrelation is not an unbiased estimator.