statsmodels.tsa.stattools.ccovf

statsmodels.tsa.stattools.ccovf(x, y, adjusted=True, demean=True, fft=True)

Calculate the crosscovariance between two series.

Parameters:

x, yarray_like

The time series data to use in the calculation.

adjustedbool, optional

If True, then denominators for crosscovariance is n-k, otherwise n.

demeanbool, optional

Flag indicating whether to demean x and y.

fftbool, default True

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

Returns:

ndarray

The estimated crosscovariance function.