tsa.stattools.ccovf()

statsmodels.tsa.stattools.ccovf

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

crosscovariance for 1D

Parameters:	x, y : arrays time series data unbiased : boolean if True, then denominators is n-k, otherwise n
Returns:	ccovf : array autocovariance function

Notes

This uses np.correlate which does full convolution. For very long time series it is recommended to use fft convolution instead.