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Published 20 hours ago • verified publisher icon sryza

added kpss stationarity test

Open josepablocam opened this issue 9 years ago • 0 comments

Added the popular KPSS test for stationarity. Followed R's tseries implementation. Added appropriate tests.

I mainly added kpss because it is part of the algorithm used by auto.arima in Hyndman's forecast package in R. I think having something similar to auto.arima in the ARIMA object would be nice for users, so eventually would like to implement that, and needed kpss for it.

josepablocam avatar Aug 07 '15 23:08 josepablocam