ma2.py 文件源码

def autocov(x, lag=1):
    """Return the autocovariance.

    Assumes a (weak) univariate stationary process with mean 0.
    Realizations are in rows.

    Parameters
    ----------
    x : np.array of size (n, m)
    lag : int, optional

    Returns
    -------
    C : np.array of size (n,)

    """
    x = np.atleast_2d(x)
    # In R this is normalized with x.shape[1]
    C = np.mean(x[:, lag:] * x[:, :-lag], axis=1)
    return C