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Rolling Covariance Matrix #13963

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kszlim opened this issue Jan 24, 2024 · 0 comments
Open

Rolling Covariance Matrix #13963

kszlim opened this issue Jan 24, 2024 · 0 comments
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enhancement New feature or an improvement of an existing feature

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@kszlim
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kszlim commented Jan 24, 2024

Description

Currently there's only an expression for getting the covariance of two different columns, could we get a function for creating numpy compatible rolling covariance matrices? This would be especially useful if it worked with rolling and later rolling_interval.
@kszlim kszlim added the enhancement New feature or an improvement of an existing feature label Jan 24, 2024
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@kszlim