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1 parent a13f5d2 commit e938018Copy full SHA for e938018
src/statistical_tests/kpss.jl
@@ -1,4 +1,12 @@
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-# This methods are used solely to help the auto-arima algorithm
+# These methods are used solely to help the auto-arima algorithm
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+# Kwiatkowski, D.;
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+# Phillips, P. C. B.;
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+# Schmidt, P.;
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+# Shin, Y. (1992)
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+# "Testing the null hypothesis
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+# of stationarity against the
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+# alternative of a unit root"
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+
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function calc_lag_kpss(lags::Bool, n::Int)
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return lags ? trunc(Int, 4*(n/100)^0.25) : trunc(Int, 12*(n/100)^0.25)
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end
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