pandas.stats.moments.rolling_cov

pandas.stats.moments.rolling_cov(arg1, arg2=None, window=None, min_periods=None, freq=None, center=False, pairwise=None, how=None, ddof=1)

Unbiased moving covariance.

Parameters:

arg1 : Series, DataFrame, or ndarray

arg2 : Series, DataFrame, or ndarray, optional

if not supplied then will default to arg1 and produce pairwise output

window : int

Size of the moving window. This is the number of observations used for calculating the statistic.

min_periods : int, default None

Minimum number of observations in window required to have a value (otherwise result is NA).

freq : string or DateOffset object, optional (default None)

Frequency to conform the data to before computing the statistic. Specified as a frequency string or DateOffset object.

center : boolean, default False

Set the labels at the center of the window.

how : string, default ‘None’

Method for down- or re-sampling

pairwise : bool, default False

If False then only matching columns between arg1 and arg2 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 Panel in the case of DataFrame inputs. In the case of missing elements, only complete pairwise observations will be used.

ddof : int, default 1

Delta Degrees of Freedom. The divisor used in calculations is N - ddof, where N represents the number of elements.

Returns:

y : type depends on inputs

DataFrame / DataFrame -> DataFrame (matches on columns) or Panel (pairwise) DataFrame / Series -> Computes result for each column Series / Series -> Series

Notes

By default, the result is set to the right edge of the window. This can be changed to the center of the window by setting center=True.

The freq keyword is used to conform time series data to a specified frequency by resampling the data. This is done with the default parameters of resample() (i.e. using the mean).