scikits.statsmodels.sandbox.tsa.acovf

scikits.statsmodels.sandbox.tsa.acovf(x, unbiased=True, demean=True)

autocovariance for 1D

Parameters:

x : array

time series data

unbiased : boolean

if True, then denominators is n-k, otherwise n

Returns:

acovf : 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.

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