Package | Description |
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dev.nm.stat.test.timeseries.adf |
Modifier and Type | Method and Description |
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static TrendType |
TrendType.valueOf(String name)
Returns the enum constant of this type with the specified name.
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static TrendType[] |
TrendType.values()
Returns an array containing the constants of this enum type, in
the order they are declared.
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Constructor and Description |
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ADFAsymptoticDistribution(TrendType trend)
Construct an asymptotic distribution for the augmented Dickey-Fuller test statistic.
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ADFAsymptoticDistribution(TrendType trend,
int nSims,
int nT,
long seed)
Construct an asymptotic 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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AugmentedDickeyFuller(double[] x,
TrendType type,
int lagOrder,
ADFDistribution dist)
Performs the Augmented Dickey-Fuller test to test for the existence of unit root.
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