statsmodels.tsa.stattools.ccovf¶
-
statsmodels.tsa.stattools.
ccovf
(x, y, unbiased=True, demean=True)[source]¶ Calculate the crosscovariance between two series.
- Parameters
- x, yarray_like
The time series data to use in the calculation.
- unbiasedbool,
optional
If True, then denominators for autocovariance is n-k, otherwise n.
- demeanbool,
optional
Flag indicating whether to demean x and y.
- Returns
ndarray
The estimated crosscovariance function.
Notes
This uses np.correlate which does full convolution. For very long time series it is recommended to use fft convolution instead.