statsmodels.sandbox.tsa.movstat.movmoment

statsmodels.sandbox.tsa.movstat.movmoment(x, k, windowsize=3, lag='lagged')

non-central moment

Parameters:

x : array

time series data

windsize : int

window size

lag : ‘lagged’, ‘centered’, or ‘leading’

location of window relative to current position

Returns:

mk : array

k-th moving non-central moment, with same shape as x

Notes

If data x is 2d, then moving moment is calculated for each column.