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Results tagged with kpss-test
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user 3382
Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test is used to analyze time series. The null hypothesis is that the time series is stationary. It is often used to complement an Augmented Dickey Fuller (ADF) test.
1
vote
differencing in sARIMA models
One doesn't assume a transformation to minimize the errors. One examines the errors from a tentative model and thus it may be necessary to simply transform the data via Box-Cox as I answered here http …
- 30k
1
vote
Accepted
Arima - Tests detect nonseasonality of time series
As @whuber aptly pointed out , it all depends upon the quality of the expert opinion that you are relying on and the scope of their search as it relates to "the best model ". The issue here is simply …
- 30k
25
votes
Accepted
How to know if a time series is stationary or non-stationary?
Testing if a series is stationary versus non-stationary requires that you consider a sequence of alternative hypotheses, one for each listable Gaussian Assumption.
One has to understand that the Gauss …
- 30k
0
votes
Accepted
Is my Data stationary? KPSS, ADF Tests and ACF
A time series can be said to be stationary when the mean , standard deviation and auto-correlation is the same for all sub-intervals of time. If you have Pulses,Seasonal Pulses, Level Shifts or Local …
- 30k