statsmodels.sandbox.tsa.movstat.movvar

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

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