TimeSeriesFunctions.AugmentedDickeyFullerTest Method

Returns a new Augmented Dickey-Fuller test object for the presence of a unit root.

Definition

Namespace: Extreme.Statistics.TimeSeriesAnalysis
Assembly: Extreme.Numerics (in Extreme.Numerics.dll) Version: 8.1.23

public static AugmentedDickeyFullerTest AugmentedDickeyFullerTest(
	Vector<double> sample,
	int order = -1,
	DickeyFullerTestType type = DickeyFullerTestType.ConstandAndTrend
)

Visual Basic

Public Shared Function AugmentedDickeyFullerTest ( 
	sample As Vector(Of Double),
	Optional order As Integer = -1,
	Optional type As DickeyFullerTestType = DickeyFullerTestType.ConstandAndTrend
) As AugmentedDickeyFullerTest

C++/CLI

public:
static AugmentedDickeyFullerTest^ AugmentedDickeyFullerTest(
	Vector<double>^ sample, 
	int order = -1, 
	DickeyFullerTestType type = DickeyFullerTestType::ConstandAndTrend
)

static member AugmentedDickeyFullerTest : 
        sample : Vector<float> * 
        ?order : int * 
        ?type : DickeyFullerTestType 
(* Defaults:
        let _order = defaultArg order -1
        let _type = defaultArg type DickeyFullerTestType.ConstandAndTrend
*)
-> AugmentedDickeyFullerTest

Parameters

sample Vector<Double>: The sample to test for a unit root.
order Int32 (Optional): Optional. The number of lag terms to include in the regression model. If less than zero, the number of lags is calculated from the size of sample.
type DickeyFullerTestType (Optional): Optional. A DickeyFullerTestType value that specifies whether the constant term (drift) and trend should be accounted for. The default is for drift and trend to be included.

Return Value

AugmentedDickeyFullerTest

Remarks

When order is zero, the test reduces to the original Dickey-Fuller test.

Exceptions

ArgumentNullException	sample is null.
InsufficientDataException	The number of samples in sample is insufficient to compute the regression of the specified time series model.