Rolling Covariance Parameters ---------- feature_left : Expression feature instance feature_right : Expression feature instance N : int rolling window size Returns ---------- Expression a feature instance with rolling max of two input
| 1499 | |
| 1500 | |
| 1501 | class Cov(PairRolling): |
| 1502 | """Rolling Covariance |
| 1503 | |
| 1504 | Parameters |
| 1505 | ---------- |
| 1506 | feature_left : Expression |
| 1507 | feature instance |
| 1508 | feature_right : Expression |
| 1509 | feature instance |
| 1510 | N : int |
| 1511 | rolling window size |
| 1512 | |
| 1513 | Returns |
| 1514 | ---------- |
| 1515 | Expression |
| 1516 | a feature instance with rolling max of two input features |
| 1517 | """ |
| 1518 | |
| 1519 | def __init__(self, feature_left, feature_right, N): |
| 1520 | super(Cov, self).__init__(feature_left, feature_right, N, "cov") |
| 1521 | |
| 1522 | |
| 1523 | #################### Operator which only support data with time index #################### |