/usr/include/openturns/DickeyFullerTest.hxx is in libopenturns-dev 1.5-7build2.
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/**
* @file DickeyFullerTest.hxx
* @brief StatTest implements statistical tests
*
* Copyright 2005-2015 Airbus-EDF-IMACS-Phimeca
*
* This library is free software: you can redistribute it and/or modify
* it under the terms of the GNU Lesser General Public License as published by
* the Free Software Foundation, either version 3 of the License, or
* (at your option) any later version.
*
* This library is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
* GNU Lesser General Public License for more details.
*
* You should have received a copy of the GNU Lesser General Public
* along with this library. If not, see <http://www.gnu.org/licenses/>.
*
* @author: $LastChangedBy: lebrun $
* @date: $LastChangedDate: 2012-01-15 23:54:56 +0100 (dim. 15 janv. 2012) $
* Id: $Id: DickeyFullerTest.hxx 2329 2012-01-15 22:54:56Z lebrun $
*/
#ifndef OPENTURNS_DICKEYFULLERTEST_HXX
#define OPENTURNS_DICKEYFULLERTEST_HXX
#include "PersistentObject.hxx"
#include "TestResult.hxx"
#include "Indices.hxx"
#include "TimeSeries.hxx"
BEGIN_NAMESPACE_OPENTURNS
/**
* @class DickeyFullerTest
*
*/
class OT_API DickeyFullerTest
: public PersistentObject
{
CLASSNAME;
public:
/** Standard constructor */
DickeyFullerTest();
/** Standard constructor */
explicit DickeyFullerTest(const TimeSeries & series,
const Bool verbose = true);
/** Virtual constructor */
virtual DickeyFullerTest * clone() const;
/** Test H0: there is a unit root in a drift and linear trend model */
TestResult testUnitRootInDriftAndLinearTrendModel(const NumericalScalar level = 0.95);
/** Test H0: there is a unit root in a drift model */
TestResult testUnitRootInDriftModel(const NumericalScalar level = 0.95);
/** Test H0: there is a unit root in an AR1 model */
TestResult testUnitRootInAR1Model(const NumericalScalar level = 0.95);
/** Strategy of tests */
TestResult runStrategy(const NumericalScalar level = 0.95);
/** Test H0: there is no linear trend in a drift and linear trend model knowing that there is a unit root */
TestResult testUnitRootAndNoLinearTrendInDriftAndLinearTrendModel(const NumericalScalar level = 0.95);
/** Test H0: there is no linear trend in a drift and linear trend model knowing that there is no unit root */
TestResult testNoUnitRootAndNoLinearTrendInDriftAndLinearTrendModel(const NumericalScalar level = 0.95);
/** Test H0: there is no drift in a drift model knowing that there is a unit root */
TestResult testUnitRootAndNoDriftInDriftModel(const NumericalScalar level = 0.95);
/** Test the nullity of drift coefficient with assumption that there is no unit root */
TestResult testNoUnitRootAndNoDriftInDriftModel(const NumericalScalar level = 0.95);
/** Verbosity accessor */
void setVerbose(const Bool verbose);
Bool getVerbose() const;
/** Method save() stores the object through the StorageManager */
void save(Advocate & adv) const;
/** Method load() reloads the object from the StorageManager */
void load(Advocate & adv);
protected:
/** Test of general model ==> run a part of strategy */
TestResult runTrendModelTest(const NumericalScalar level = 0.95);
/** Test of drift model ==> run a part of strategy */
TestResult runDriftModelStrategyTest(const NumericalScalar level = 0.95);
/** Test of random walk model ==> run a part of strategy */
TestResult runRandomWalkModelStrategyTest(const NumericalScalar level = 0.95);
/** Estimate the coefficients of a model with drift and linear trend */
void estimateDriftAndLinearTrendModel();
/** Estimate the coefficients of a model with drift */
void estimateDriftModel();
/** Estimate the coefficients of an AR1 model */
void estimateAR1Model();
private:
/** Time series on which computation is done */
TimeSeries timeSeries_;
/** Size of underlying part */
UnsignedInteger T_;
/** Boolean verbose */
Bool verbose_;
/** Last model evaluated. Values are 1 (AR) to 3 (trend model) */
UnsignedInteger lastModel_;
/** rho value and the variance associated to the estimator */
NumericalScalar rho_;
NumericalScalar sigmaRho_;
/** drift value associated to the estimator */
NumericalScalar drift_;
NumericalScalar sigmaDrift_;
/** trend value associated to the estimator */
NumericalScalar trend_;
NumericalScalar sigmaTrend_;
/** Boolean - Are the characteristic for model without drift computed? */
Bool isComputedNoConstantCharacteristics_;
/** Sum of 1/T * y_{t}*y_{t-1}, t=1,,,N */
NumericalScalar sum_yt_yt_minus_one_;
/** Sum of 1/T * y_{t-1}*y_{t-1}, t=1,,,N */
NumericalScalar sum_squared_yt_minus_one_;
/** Perform the computation of the previous quantities */
void computeNoConstantCharacteristics_();
/** Boolean - Are the characteristic for model with drift computed? */
Bool isComputedDriftCharacteristics_;
/** Sum of 1/T * y_{t-1}, t=1,,,N */
NumericalScalar sum_yt_minus_one_;
/** Sum of 1/T * y_{t}, t=1,,,N */
NumericalScalar sum_yt_;
/** Perform the computation of the previous quantities */
void computeDriftCharacteristics_();
/** Boolean - Are the characteristic for model with trend computed? */
Bool isComputedTrendCharacteristics_;
/** Sum of 1/T * y_{t-1}* t, t=1,,,N */
NumericalScalar sum_t_yt_minus_one_;
/** Sum of 1/T * y_{t-1}* t, t=1,,,N */
NumericalScalar sum_t_yt_;
/** Sum of 1/T * t_i, t=1,,,N */
NumericalScalar sum_ti_;
/** Sum of 1/T * t_i * t_i, t=1,,,N */
NumericalScalar sum_ti_ti_;
/** Perform the computation of the previous quantity */
void computeTrendCharacteristics_() ;
}; /* class DickeyFullerTest */
END_NAMESPACE_OPENTURNS
#endif /* OPENTURNS_DICKEYFULLERTEST_HXX */
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