pandas.stats.moments.ewmcov

pandas.stats.moments.ewmcov(arg1, arg2, com=None, span=None, min_periods=0, bias=False, freq=None, time_rule=None)

Exponentially-weighted moving covariance

Parameters :

arg1 : Series, DataFrame, or ndarray

arg2 : Series, DataFrame, or ndarray

com : float. optional

Center of mass: alpha = com / (1 + com),

span : float, optional

Specify decay in terms of span, alpha = 2 / (span + 1)

min_periods : int, default 0

Number of observations in sample to require (only affects beginning)

freq : None or string alias / date offset object, default=None

Frequency to conform to before computing statistic

adjust : boolean, default True

Divide by decaying adjustment factor in beginning periods to account for imbalance in relative weightings (viewing EWMA as a moving average)

Returns :

y : type of input argument

Notes

Either center of mass or span must be specified

EWMA is sometimes specified using a “span” parameter s, we have have that the decay parameter alpha is related to the span as

where c is the center of mass. Given a span, the associated center of mass is

So a “20-day EWMA” would have center 9.5.