DickeyFullerTest

class DickeyFullerTest(*args)

The Dickey-Fuller stationarity test.

Refer to Dickey-Fuller stationarity test.

The Dickey-Fuller test checks the stationarity of a scalar time series using one time series.

Parameters:
series~openturns.TimeSeries

Time series to consider

Methods

getClassName()

Accessor to the object's name.

getName()

Accessor to the object's name.

hasName()

Test if the object is named.

runStrategy([level])

Test the stationarity without any assumption on the model.

setName(name)

Accessor to the object's name.

testNoUnitRootAndNoDriftInDriftModel([level])

Test for null drift in model without unit root.

testNoUnitRootAndNoLinearTrendInDriftAndLinearTrendModel([level])

Test for trend in model without unit root.

testUnitRootAndNoDriftInDriftModel([level])

Test for null drift in model with unit root.

testUnitRootAndNoLinearTrendInDriftAndLinearTrendModel([level])

Test for linear trend in model with unit root.

testUnitRootInAR1Model([level])

Test for unit root in AR1 model.

testUnitRootInDriftAndLinearTrendModel([level])

Test for unit root in model with drift and trend.

testUnitRootInDriftModel([level])

Test for unit root in model with drift.

Examples

Create an ARMA process and generate a time series:

>>> import openturns as ot
>>> arcoefficients = ot.ARMACoefficients([0.3])
>>> macoefficients = ot.ARMACoefficients(0)
>>> timeGrid = ot.RegularGrid(0.0, 0.1, 10)
>>> whiteNoise = ot.WhiteNoise(ot.Normal(), timeGrid)
>>> myARMA = ot.ARMA(arcoefficients, macoefficients, whiteNoise)

>>> realization = ot.TimeSeries(myARMA.getRealization())
>>> test = ot.DickeyFullerTest(realization)

Test the stationarity of the data without any assumption on the model:

>>> globalRes = test.runStrategy()

Test the stationarity knowing you have a drift and linear trend model:

>>> res1 = test.testUnitRootInDriftAndLinearTrendModel(0.95)

Test the stationarity knowing you have a drift model:

>>> res2 = test.testUnitRootInDriftModel(0.95)

Test the stationarity knowing you have an AR1 model:

>>> res3 = test.testUnitRootInAR1Model(0.95)
__init__(*args)
getClassName()

Accessor to the object’s name.

Returns:
class_namestr

The object class name (object.__class__.__name__).

getName()

Accessor to the object’s name.

Returns:
namestr

The name of the object.

hasName()

Test if the object is named.

Returns:
hasNamebool

True if the name is not empty.

runStrategy(level=0.05)

Test the stationarity without any assumption on the model.

Parameters:
alphafloat, 0 < \alpha < 1

The first kind risk of the test.

By default, \alpha=0.05.

Returns:
testResultTestResult

Results container of the tests. The strategy if the one described above.

setName(name)

Accessor to the object’s name.

Parameters:
namestr

The name of the object.

testNoUnitRootAndNoDriftInDriftModel(level=0.05)

Test for null drift in model without unit root.

Parameters:
alphafloat, 0 < \alpha < 1

The first kind risk of the test.

By default, \alpha=0.05.

Returns:
testResultTestResult

Results container of the test detailed in (10).

testNoUnitRootAndNoLinearTrendInDriftAndLinearTrendModel(level=0.05)

Test for trend in model without unit root.

Parameters:
alphafloat, 0 < \alpha < 1

The first kind risk of the test.

By default, \alpha=0.05.

Returns:
testResultTestResult

Results container of the test detailed in (5).

testUnitRootAndNoDriftInDriftModel(level=0.05)

Test for null drift in model with unit root.

Parameters:
alphafloat, 0 < \alpha < 1

The first kind risk of the test.

By default, \alpha=0.05.

Returns:
testResultTestResult

Results container of the test detailed in (11).

testUnitRootAndNoLinearTrendInDriftAndLinearTrendModel(level=0.05)

Test for linear trend in model with unit root.

Parameters:
alphafloat, 0 < \alpha < 1

The first kind risk of the test.

By default, \alpha=0.05

Returns:
testResultTestResult

Results container of the test detailed in (6).

testUnitRootInAR1Model(level=0.05)

Test for unit root in AR1 model.

Parameters:
alphafloat, 0 < \alpha < 1

The first kind risk of the test.

By default, \alpha=0.05.

Returns:
testResultTestResult

Results container of the test detailed in (14).

testUnitRootInDriftAndLinearTrendModel(level=0.05)

Test for unit root in model with drift and trend.

Parameters:
alphafloat, 0 < \alpha < 1

The first kind risk of the test.

By default, \alpha=0.05.

Returns:
testResultTestResult

Results container of the test detailed in (4).

testUnitRootInDriftModel(level=0.05)

Test for unit root in model with drift.

Parameters:
alphafloat, 0 < \alpha < 1

The first kind risk of the test.

By default, \alpha=0.05.

Returns:
testResultTestResult

Results container of the test detailed in (9).