pmdarima.arima.CHTest

class pmdarima.arima.CHTest(m)[source][source]

Conduct a CH test for seasonality.

The Canova-Hansen test for seasonal differences. Canova and Hansen (1995) proposed a test statistic for the null hypothesis that the seasonal pattern is stable. The test statistic can be formulated in terms of seasonal dummies or seasonal cycles. The former allows us to identify seasons (e.g. months or quarters) that are not stable, while the latter tests the stability of seasonal cycles (e.g. cycles of period 2 and 4 quarters in quarterly data). [1]

Parameters:

m : int

The seasonal differencing term. For monthly data, e.g., this would be 12. For quarterly, 4, etc. For the Canova-Hansen test to work, m must exceed 1.

Notes

This test is generally not used directly, but in conjunction with pmdarima.arima.nsdiffs(), which directly estimates the number of seasonal differences.

References

[R57]

Testing for seasonal stability using the Canova and Hansen test statistic: http://bit.ly/2wKkrZo

Methods

estimate_seasonal_differencing_term(x)

Estimate the seasonal differencing term.

get_metadata_routing()

Get metadata routing of this object.

get_params([deep])

Get parameters for this estimator.

set_params(**params)

Set the parameters of this estimator.

__init__(m)[source][source]