scikits.statsmodels.sandbox.tsa.ccovf

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

crosscovariance for 1D

Parameters :

x, y : arrays

time series data

unbiased : boolean

if True, then denominators is n-k, otherwise n

Returns :

ccovf : array

autocovariance function

Notes

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

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