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.