statsmodels.sandbox.tsa.movstat.movvar¶

statsmodels.sandbox.tsa.movstat.movvar(x, windowsize=3, lag='lagged')[source]¶

moving window variance

Parameters:¶

xndarray

time series data

windsizeint

window size

lag‘lagged’, ‘centered’, or ‘leading’

location of window relative to current position

Returns:¶

mkndarray

moving variance, with same shape as x