qis.CrossXyType

class qis.CrossXyType(*values)

Bases: Enum

which cross statistic compute_ewm_cross_xy returns.

Variables:

• COVAR – the EWM cross moment M^{xy} (a covariance only if the inputs are centred)

• BETA – M^{xy} / M^{xx}, the EWM regression slope of y on x through the origin

• CORR – M^{xy} / sqrt(M^{xx} M^{yy}), an uncentred correlation unless mean-adjusted

__init__(*args, **kwds)

Attributes

COVAR
BETA
CORR

COVAR = 1

BETA = 2

CORR = 3