pmdarima.arima.PPTest

class pmdarima.arima.PPTest(alpha=0.05, lshort=True)

Conduct a PP test for stationarity.

In statistics, the Phillips–Perron test (named after Peter C. B. Phillips and Pierre Perron) is a unit root test. It is used in time series analysis to test the null hypothesis that a time series is integrated of order 1. It builds on the Dickey–Fuller test of the null hypothesis p = 0.

Parameters:

alphafloat, optional (default=0.05)

Level of the test

lshortbool, optional (default=True)

Whether or not to truncate the l value in the C code.

Notes

This test is generally used indirectly via the pmdarima.arima.ndiffs() function, which computes the differencing term, d.

The R code allows for two types of tests: ‘Z(alpha)’ and ‘Z(t_alpha)’. Since sklearn does not allow extraction of std errors from the linear model fit, t_alpha is much more difficult to achieve, so we do not allow that variant.

References

[1]

R’s tseries PP test source code: http://bit.ly/2wbzx6V

Methods

get_metadata_routing()	Get metadata routing of this object.
get_params([deep])	Get parameters for this estimator.
is_stationary(x)	Test whether the time series is stationary.
set_params(**params)	Set the parameters of this estimator.
should_diff(x)	Test whether the time series is stationary or needs differencing.

__init__(alpha=0.05, lshort=True)