added kpss stationarity test #43
Open
Conversation
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
A couple of simple changes to get started: corrected
added EWMA functionality and tests
…amples Issue sryza#23: Rename toSamples to toInstants
…evant tests), added missing type to EasyPlot functions
ACF and PACF
added scaladoc comments for up/down sampling
…_label_to_key sryza#24: Renamed labels to keys in TimeSeries
…e config xml the indentation formatting IntelliJ craved
Added Scalastyle
Ljung-Box test
Return figures in plotting functions
| * Journal of Econometrics, 159-178. | ||
| */ | ||
| private val kpssConstantCriticalValues = ListMap(0.10 -> 0.347, 0.05 -> 0.463, 0.025 -> 0.574, | ||
| 0.01 -> 0.739 |
There was a problem hiding this comment.
I think it'd look a little nicer to have all the critical values on the same line
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
Add this suggestion to a batch that can be applied as a single commit.
This suggestion is invalid because no changes were made to the code.
Suggestions cannot be applied while the pull request is closed.
Suggestions cannot be applied while viewing a subset of changes.
Only one suggestion per line can be applied in a batch.
Add this suggestion to a batch that can be applied as a single commit.
Applying suggestions on deleted lines is not supported.
You must change the existing code in this line in order to create a valid suggestion.
Outdated suggestions cannot be applied.
This suggestion has been applied or marked resolved.
Suggestions cannot be applied from pending reviews.
Suggestions cannot be applied on multi-line comments.
Suggestions cannot be applied while the pull request is queued to merge.
Suggestion cannot be applied right now. Please check back later.
Added the popular KPSS test for stationarity. Followed R's tseries implementation. Added appropriate tests.
I mainly added kpss because it is part of the algorithm used by
auto.arimain Hyndman'sforecastpackage in R. I think having something similar toauto.arimain theARIMAobject would be nice for users, so eventually would like to implement that, and needed kpss for it.