Skip to content

Instantly share code, notes, and snippets.

@Knk00
Created June 26, 2020 11:01
Show Gist options
  • Save Knk00/cb9976178180b8086699a647315e0062 to your computer and use it in GitHub Desktop.
Save Knk00/cb9976178180b8086699a647315e0062 to your computer and use it in GitHub Desktop.
def ADF_test (self, series):
adf = adfuller(series)
print('ADF test')
print("\tADF Statistic: {}\n".format (adf[0]))
print("\tp-value: {}\n".format (adf[1])) #Since the p-value is far from 0.05 it not stationary
print ("\tCritical values : \n")
for key, value in adf[4].items():
print("\t\t{} : {}\n".format(key, value))
if (adf[1] < 0.05):
print('Reject the null hypothesis')
print('Series is Stationary')
else:
print('Failed to reject the null hypothesis')
print('Series is Non-Stationary')
return adf
def hodrick_prescott(self, series, lamb = 6.25):
df = series.to_frame()
cycle, trend = hpfilter(series, lamb= lamb)
df['cycle'], df['trend'] = cycle, trend
return df
'''Helper Fuctions for Seasonal Decomposition'''
def ets_Decomposition_multiplicative(self, series):
result = seasonal_decompose(series, model = 'multiplicative')
return result
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment