statsmodels.tsa.stattools.ccf(x, y, unbiased=True)
[source]
cross-correlation function for 1d
Parameters: |
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Returns: |
ccf – cross-correlation function of x and y |
Return type: |
array |
This is based np.correlate which does full convolution. For very long time series it is recommended to use fft convolution instead.
If unbiased is true, the denominator for the autocovariance is adjusted but the autocorrelation is not an unbiased estimtor.
© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.tsa.stattools.ccf.html