/pandas 0.23


EWM.cov(other=None, pairwise=None, bias=False, **kwargs) [source]

exponential weighted sample covariance


other : Series, DataFrame, or ndarray, optional

if not supplied then will default to self and produce pairwise output

pairwise : bool, default None

If False then only matching columns between self and other will be used and the output will be a DataFrame. If True then all pairwise combinations will be calculated and the output will be a MultiIndex DataFrame in the case of DataFrame inputs. In the case of missing elements, only complete pairwise observations will be used.

bias : boolean, default False

Use a standard estimation bias correction

same type as input

© 2008–2012, AQR Capital Management, LLC, Lambda Foundry, Inc. and PyData Development Team
Licensed under the 3-clause BSD License.