scikits.statsmodels.sandbox.tsa.ccf

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

cross-correlation function for 1d Parameters ———- x, y : arrays

time series data
unbiased : boolean
if True, then denominators for autocovariance is n-k, otherwise n
Returns :

ccf : array

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 estimtor.

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