statsmodels.sandbox.tsa.movstat.movorder

statsmodels.sandbox.tsa.movstat.movorder(x, order='med', windsize=3, lag='lagged')

moving order statistics

Parameters:

x : array

time series data

order : float or ‘med’, ‘min’, ‘max’

which order statistic to calculate

windsize : int

window size

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

location of window relative to current position

Returns:

filtered array