Rolling Functions

This module contains some tools to compute rolling functions, such as rolling minimum (roll_min) and rolling maximum (roll_max), and pairwise rolling statistics between two series (roll_corr, roll_beta).

Minimum and maximum

roll_min(X[, w, axis, dtype])	Compute simple rolling minimum of size w for each X' series.
roll_max(X[, w, axis, dtype])	Compute simple rolling maximum of size w for each X' series.

Pairwise statistics

roll_cov(x, y[, w])	Trailing rolling covariance between two aligned 1-D series.
roll_corr(x, y[, w])	Trailing rolling Pearson correlation between two aligned 1-D series.
roll_beta(x, y[, w])	Trailing rolling OLS slope of x regressed on y.
cross_corr(x, y[, max_lag])	Full-sample lead-lag cross-correlation profile of two series.