adf_test

scirs2_series::transformations

Function adf_test 

Source 
pub fn adf_test<F, S>(
    ts: &ArrayBase<S, Ix1>,
    max_lags: Option<usize>,
    regression_type: &str,
) -> Result<StationarityTest<F>>
where
    S: Data<Elem = F>,
    F: Float + FromPrimitive + Debug + Display + Clone + 'static,
Expand description

Augmented Dickey-Fuller test for stationarity

Tests the null hypothesis that a unit root is present in the time series. H0: The series has a unit root (non-stationary) H1: The series is stationary

§Arguments

  • ts - Input time series
  • max_lags - Maximum number of lags to include (auto-selected if None)
  • regression_type - Type of regression (‘c’ = constant, ‘ct’ = constant and trend, ‘nc’ = no constant)

§Returns

Stationarity test results