BreakvarHeteroskedasticityTest

Variance break test for heteroskedasticity.

Quickstart

from sktime.param_est.stationarity import BreakvarHeteroskedasticityTest

estimator = BreakvarHeteroskedasticityTest(p_threshold=0.05, subset_length=0.3333333333333333, alternative='two-sided', use_f=True)

Parameters(4)

p_thresholdfloat, optional, default=0.05

significance threshold to apply in testing for heteroskedasticity.

subset_lengthfloat, default=1/3

Length of the subsets to test.

alternativestr, ‘increasing’, ‘decreasing’ or ‘two-sided’, default=’two-sided’

This specifies the alternative for the p-value calculation.

use_fbool, optional

Whether or not to compare against the asymptotic distribution (chi-squared) or the approximate small-sample distribution (F). Default is True (i.e. default is to compare against an F distribution).

Examples

>>> from sktime.datasets import load_airline
>>> from sktime.param_est.stationarity import BreakvarHeteroskedasticityTest
>>> 
>>> X = load_airline ()
>>> sty_est = BreakvarHeteroskedasticityTest ()
>>> sty_est. fit (X) BreakvarHeteroskedasticityTest(
... )