qis.compute_ewm_xy_beta_tensor

qis.compute_ewm_xy_beta_tensor(x, y, span=None, ewm_lambda=0.94, warmup_period=20, is_x_correlated=True, nan_backfill=NanBackfill.FFILL)

compute ewm cross matrices with x*y using outer product = dim[x] * dim[y] the dimension of tensor is [t, x, y] njit

Parameters:

• x (ndarray)

• y (ndarray)

• span (int | ndarray)

• ewm_lambda (float)

• warmup_period (int)

• is_x_correlated (bool)

• nan_backfill (NanBackfill)

Return type:

ndarray