WINDOWCOVARS

Calculates rolling or static window sample covariance

WINDOWCOVARS(column, window size / static window start, static window end)

Returns a rolling or static window sample covariance from a given column

Arguments

Argument

Description

column

Column on which to compute the window covariance. Must be numeric.

window size / static window start

Size of rolling window calculation. If two window values are provided, this is the 1st row number for the static window calculation.

static window end

Optional, default is None. 2nd row number for static window calculation.

Outputs

Window covariance(s).

Example

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