adf

Documentation

Index

• Constants
• type ADF
  • func New(series []float64, pvalue float64, lag int) *ADF
  • func (adf ADF) IsStationary() bool
  • func (adf *ADF) Run()

Constants

const (
	LPenalty      = 0.0001 // L penalty to pass to ridge regression
	DefaultPValue = -3.45  // Test p-value threshold
)

Types

type ADF

type ADF struct {
	Series          []float64 // The time series to test
	PValueThreshold float64   // The p-value threshold for the test
	Statistic       float64   // The test statistic
	Lag             int       // The lag to use when running the test
}

An instance of an ADF test

func New

func New(series []float64, pvalue float64, lag int) *ADF

New creates and returns a new ADF test.

func (ADF) IsStationary

func (adf ADF) IsStationary() bool

IsStationary returns true if the tested time series is stationary.

func (*ADF) Run

func (adf *ADF) Run()

Run runs the Augmented Dickey-Fuller test.