# pyramid.arima.PPTest¶

class pyramid.arima.PPTest(alpha=0.05, lshort=True)[source][source]

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: alpha : float, optional (default=0.05) Level of the test lshort : bool, optional (default=True) Whether or not to truncate the l value in the C code.

Notes

This test is generally used indirectly via the pyramid.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

 [R29] R’s tseries PP test source code: http://bit.ly/2wbzx6V

Methods

 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.
__init__(alpha=0.05, lshort=True)[source][source]

Initialize self. See help(type(self)) for accurate signature.

get_params(deep=True)[source]

Get parameters for this estimator.

Parameters: deep : boolean, optional If True, will return the parameters for this estimator and contained subobjects that are estimators. params : mapping of string to any Parameter names mapped to their values.
is_stationary(x)[source][source]

Test whether the time series is stationary.

Parameters: x : array-like, shape=(n_samples,) The time series vector. pval : float The computed P-value of the test. sig : bool Whether the P-value is significant at the alpha level. More directly, whether to difference the time series.
set_params(**params)[source]

Set the parameters of this estimator.

The method works on simple estimators as well as on nested objects (such as pipelines). The latter have parameters of the form <component>__<parameter> so that it’s possible to update each component of a nested object.

Returns: self