statsmodels.tsa.stattools.ccovf¶

statsmodels.tsa.stattools.ccovf(x, y, adjusted=True, demean=True, fft=True)[source]¶

Calculate the cross-covariance between two series.

Parameters:¶

x : array_like¶

The time series data to use in the calculation.

y : array_like¶

The time series data to use in the calculation.

adjusted : bool, optional¶

If True, then denominators for cross-covariance are n-k, otherwise n.

demean : bool, optional¶

Flag indicating whether to demean x and y.

fft : bool, default True¶

If True, use FFT convolution. This method should be preferred for long time series.

Returns:¶

The estimated cross-covariance function: the element at index k is the covariance between {x[k], x[k+1], …, x[n]} and {y[0], y[1], …, y[m-k]}, where n and m are the lengths of x and y, respectively.

Return type:¶

ndarray