statsmodels.sandbox.tsa.movstat.movmoment

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

non-central moment

Parameters:

• x (ndarray) – time series data

• windsize (int) – window size

• lag ('lagged', 'centered', or 'leading') – location of window relative to current position

Returns:

mk – k-th moving non-central moment, with same shape as x

Return type:

ndarray

Notes

If data x is 2d, then moving moment is calculated for each column.