public class ADFFiniteSampleDistribution extends EmpiricalDistribution
Constructor and Description |
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ADFFiniteSampleDistribution(int sampleSize)
Construct a finite sample distribution for the Augmented Dickey-Fuller test statistic.
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ADFFiniteSampleDistribution(int sampleSize,
TrendType trend)
Construct a finite sample distribution for the original Dickey-Fuller test
statistic.
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ADFFiniteSampleDistribution(int sampleSize,
TrendType trend,
boolean lagAdjust,
int lagOrder)
Construct a finite sample distribution for the Augmented Dickey-Fuller test statistic.
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ADFFiniteSampleDistribution(int sampleSize,
TrendType trend,
boolean lagAdjust,
int lagOrder,
int truncation,
int nSims,
long seed)
Construct a finite sample distribution for the Augmented Dickey-Fuller test statistic.
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public ADFFiniteSampleDistribution(int sampleSize, TrendType trend, boolean lagAdjust, int lagOrder, int truncation, int nSims, long seed)
sampleSize
- the (finite) sample sizetrend
- the type of Augmented Dickey-Fuller testlagAdjust
- true
if the distribution is adjusted for lagslagOrder
- the lag order; lagOrder = 0
yields the original Dickey-Fuller
distributiontruncation
- the number of truncated valuesnSims
- the number of simulationspublic ADFFiniteSampleDistribution(int sampleSize, TrendType trend, boolean lagAdjust, int lagOrder)
sampleSize
- the (finite) sample sizetrend
- the type of Augmented Dickey-Fuller testlagAdjust
- true
if the distribution is adjusted for lagslagOrder
- the lag order; lagOrder = 0
yields the original Dickey-Fuller
distributionpublic ADFFiniteSampleDistribution(int sampleSize, TrendType trend)
sampleSize
- the (finite) sample sizetrend
- the type of Augmented Dickey-Fuller testpublic ADFFiniteSampleDistribution(int sampleSize)
sampleSize
- the (finite) sample sizeCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.