statsmodels.sandbox.tsa.movstat.movvar

statsmodels.sandbox.tsa.movstat.movvar(x, windowsize=3, lag='lagged') [source]

moving window variance

Parameters:	x (array) – time series data windsize (int) – window size lag ('lagged', 'centered', or 'leading') – location of window relative to current position
Returns:	mk – moving variance, with same shape as x
Return type:	array