Represents an Augmented Dickey-Fuller (ADF) test for the presence of
a unit root.
SystemObject Extreme.Statistics.TestsHypothesisTest Extreme.Statistics.TestsOneSampleTestDouble Extreme.Statistics.TimeSeriesAnalysisAugmentedDickeyFullerTest
Extreme.Numerics.Net40 (in Extreme.Numerics.Net40.dll) Version: 6.0.16073.0 (6.0.17150.0)
public class AugmentedDickeyFullerTest : OneSampleTest<double>
Public Class AugmentedDickeyFullerTest
Inherits OneSampleTest(Of Double)
public ref class AugmentedDickeyFullerTest : public OneSampleTest<double>
type AugmentedDickeyFullerTest =
The AugmentedDickeyFullerTest type exposes the following members.
Use the AugmentedDickeyFullerTest class to test
whether a time series has a unit root. The null hypothesis is
that the series has a unit root. The alternative hypothesis is
that the series is stationary or trend-stationary.
The test is based on a regression of a time series model
that may include a constant term (for drift) and a trend term.
By default, both drift and trend are included. This can be modified
by setting the Type property.
The number of lag terms can be specified using the Order
property. A value of 0 corresponds to the original Dickey-Fuller test.
When the order is less than 0, the order is computed as the cube root
of the sample size.
Supported in: 6.0