statsmodels.tsa.stattools.ccovf¶
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statsmodels.tsa.stattools.
ccovf
(x, y, unbiased=True, demean=True)[source]¶ Calculate the crosscovariance between two series.
Parameters: x, y : array_like
The time series data to use in the calculation.
unbiased : bool, optional
If True, then denominators for autocovariance is n-k, otherwise n.
demean : bool, 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.