statsmodels.tsa.stattools.ccovf

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

Calculate the cross-covariance between two series.

Parameters:

• x (array_like) – The time series data to use in the calculation.

• y (array_like) – The time series data to use in the calculation.

• adjusted (bool, optional) – If True, then denominators for cross-covariance are n-k, otherwise n.

• demean (bool, optional) – Flag indicating whether to demean x and y.

• fft (bool, default True) – If True, use FFT convolution. This method should be preferred for long time series.

Returns:

The estimated cross-covariance function: the element at index k is the covariance between {x[k], x[k+1], …, x[n]} and {y[0], y[1], …, y[m-k]}, where n and m are the lengths of x and y, respectively.

Return type:

ndarray