Kpss
Definition
Namespace: Numerics.NET.Statistics.TimeSeriesAnalysis
Assembly: Numerics.NET (in Numerics.NET.dll) Version: 10.7.0
Assembly: Numerics.NET (in Numerics.NET.dll) Version: 10.7.0
Overload List
| Kpss | Initializes a new KPSS test for level stationarity using the short lag-selection rule. |
| Kpss | Initializes a new KPSS test using the specified stationarity type and lag-selection rule. |
| Kpss | Initializes a new KPSS test using an explicit fixed lag count. |
KpssTest(Vector<Double>)
Initializes a new KPSS test for level stationarity using the short
lag-selection rule.
public KpssTest(
Vector<double> series
)Parameters
Exceptions
| Argument | series is null. |
| Argument | series contains a non-finite observation. |
| Insufficient | The length of series is less than 4. |
KpssTest(Vector<Double>, KpssTestType, KpssLagSelection)
Initializes a new KPSS test using the specified stationarity type and
lag-selection rule.
public KpssTest(
Vector<double> series,
KpssTestType type,
KpssLagSelection lagSelection = KpssLagSelection.Short
)Parameters
- series Vector<Double>
- The time series to test for stationarity.
- type KpssTestType
- The deterministic component in the stationarity null hypothesis.
- lagSelection KpssLagSelection (Optional)
- The rule used to select the number of lags in the long-run variance estimate.
Exceptions
| Argument | series is null. |
| Argument | series contains a non-finite observation, or lagSelection is Fixed. |
| Argument | type or lagSelection is invalid. |
| Insufficient | The length of series is insufficient for the selected test type. |
KpssTest(Vector<Double>, KpssTestType, Int32)
Initializes a new KPSS test using an explicit fixed lag count.
public KpssTest(
Vector<double> series,
KpssTestType type,
int lagCount
)Parameters
- series Vector<Double>
- The time series to test for stationarity.
- type KpssTestType
- The deterministic component in the stationarity null hypothesis.
- lagCount Int32
- The number of lags in the long-run variance estimate.
Exceptions
| Argument | series is null. |
| Argument | series contains a non-finite observation. |
| Argument | type is invalid, lagCount is negative, or lagCount is greater than or equal to the length of series. |
| Insufficient | The length of series is insufficient for the selected test type. |