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Param Estimator

StationarityZivotAndrews

API referenceSource

Test for stationarity via the Zivot-Andrews Unit Root Test.

Quickstart

python
from sktime.param_est.stationarity import StationarityZivotAndrews

estimator = StationarityZivotAndrews(lags=None, trend='c', trim=0.15, max_lags=None, method='aic', p_threshold=0.05)

Parameters(5)

lagsint, optional

The number of lags to use in the ADF regression. If omitted or None, method is used to automatically select the lag length with no more than max_lags are included.

trend{“c”, “t”, “ct”}, optional

The trend component to include in the test

  • “c” - Include a constant (Default)

  • “t” - Include a linear time trend

  • “ct” - Include a constant and linear time trend

trimfloat
percentage of series at begin/end to exclude from break-period calculation in range [0, 0.333] (default=0.15)
max_lagsint, optional
The maximum number of lags to use when selecting lag length
method{“AIC”, “BIC”, “t-stat”}, optional

The method to use when selecting the lag length

  • “AIC” - Select the minimum of the Akaike IC

  • “BIC” - Select the minimum of the Schwarz/Bayesian IC

  • “t-stat” - Select the minimum of the Schwarz/Bayesian IC

Examples

>>> from sktime.datasets import load_airline
>>> from sktime.param_est.stationarity import StationarityZivotAndrews
>>> 
>>> X = load_airline ()
>>> sty_est = StationarityZivotAndrews ()
>>> sty_est. fit (X) StationarityZivotAndrews(
... )
>>> sty_est. get_fitted_params ()["stationary" ] False