statsmodels.sandbox.tsa.movstat.movvar¶
-
statsmodels.sandbox.tsa.movstat.
movvar
(x, windowsize=3, lag='lagged')[source]¶ moving window variance
- Parameters
x : ndarray
time series data
windsize : int
window size
lag : ‘lagged’, ‘centered’, or ‘leading’
location of window relative to current position
- Returns
mk : ndarray
moving variance, with same shape as x