class KPSS_Stationarity extends UnitRoot
The KPSS class provides capabilities of performing KPSS test to determine
if a time series is stationary around a deterministic trend.
This code is translated from the C++ code found in
- See also
github.com/olmallet81/URT.
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Instance Constructors
- new KPSS_Stationarity(data_: VectoD, lagsType_: String, trend_: String)
Alternative constructor that only provides the type of lags.
Alternative constructor that only provides the type of lags.
- data_
the time series vector
- lagsType_
type of lags, long or short
- trend_
type of trend to test for
- new KPSS_Stationarity(data_: VectoD, lags_: Int, trend_: String)
Alternative constructor that only provides the number of lags.
Alternative constructor that only provides the number of lags.
- data_
the time series vector
- lags_
the number of lags to use
- trend_
type of trend to test for
- new KPSS_Stationarity(data_: VectoD, lags_: Int, lagsType_: String, trend_: String = "c")
- data_
the time series vector
- lags_
the number of lags to use
- lagsType_
type of lags, long or short
- trend_
type of trend to test for
Value Members
- def canReject(alpha: Double = 0.05): Boolean
Check to see if H0 can be rejected.
Check to see if H0 can be rejected. Must call pvalue first to compute pval.
- def computeStat(): Unit
Computes test statistics.
- def getPval(): Double
Get test pvalue.
Get test pvalue.
- Definition Classes
- UnitRoot
- def getStat(): Double
Get test statistic.
Get test statistic.
- Definition Classes
- UnitRoot
- def getTrends(): VectorS
Get test valid trends.
Get test valid trends.
- Definition Classes
- UnitRoot
- var lags: Int
- Definition Classes
- UnitRoot
- def pvalue(): Double
Compute test statistic p-value.
Compute test statistic p-value.
- Definition Classes
- KPSS_Stationarity → UnitRoot
- def show(): Unit
Output test results.
Output test results.
- Definition Classes
- KPSS_Stationarity → UnitRoot
- def statistic(): Double
Compute KPSS test statistic.
Compute KPSS test statistic.
- Definition Classes
- KPSS_Stationarity → UnitRoot
- var trend: String
- Definition Classes
- UnitRoot