qDickeyFullerTrend¶
- qDickeyFullerTrend(p, tail=False)¶
Quantile of the Dickey-Fuller statistic.
- Parameters:
- pfloat
The probability.
- tailbool, optional
Tail flag. Default value is False. If True, the quantile associated to is computed.
- Returns:
- qfloat
The quantile of order or .
Notes
Refer to Dickey-Fuller stationarity test.
Let denote the data and the Wiener process. Let us define and .
The Dickey-Fuller statistic is the asymptotic distribution of the Student statistic used to test the model with drift and trend in a time series:
We test:
thanks to the Student statistic defined by:
where is the least square estimate of the standard deviation of . Under the null hypothesis , converges towards the Dickey-Fuller distribution:
Examples
>>> import openturns as ot >>> q = ot.DistFunc.qDickeyFullerTrend(0.01)