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KPSSTest Class
Allows to perform KPSS test for stationarity.

The test of Kwiatkowski, Phillips, Schmidt and Shin (KPSS) assesses the null hypothesis that a univariate time series is trend stationary against the alternative that it is a nonstationary unit-root process.

References: 1.Kwiatkowski, D., P. C. B. Phillips, P. Schmidt and Y. Shin. "Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root." Journal of Econometrics. Vol. 54, 1992, pp. 159-178.2.Hamilton, J. D. Time Series Analysis. Princeton, NJ: Princeton University Press, 1994.

Inheritance Hierarchy
SystemObject
  FinMath.Statistics.HypothesisTestingHypothesisTest
    FinMath.Statistics.HypothesisTestingOneSampleTest
      FinMath.Statistics.HypothesisTestingKPSSTest

Namespace:  FinMath.Statistics.HypothesisTesting
Assembly:  FinMath (in FinMath.dll) Version: 2.4.7-0a995bd0ea1854c2c868ec3f8dae606c5777e170
Syntax
C#
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[SerializableAttribute]
public class KPSSTest : OneSampleTest

The KPSSTest type exposes the following members.

Constructors
  NameDescription
Public methodKPSSTest
Initializes an instance of KPSSTest class.
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Properties
  NameDescription
Public propertyAcceptanceRegionLeft
Region of acceptance left border. We fail to reject null hypothesis if test statistics is between left and right borders of region of acceptance. http://en.wikipedia.org/wiki/Statistical_hypothesis_testing#Definition_of_terms
(Overrides HypothesisTestAcceptanceRegionLeft.)
Public propertyAcceptanceRegionRight
Region of acceptance right border. We fail to reject null hypothesis if test statistics is between left and right borders of region of acceptance. http://en.wikipedia.org/wiki/Statistical_hypothesis_testing#Definition_of_terms
(Overrides HypothesisTestAcceptanceRegionRight.)
Public propertyAlpha
The intercept constant or drift.
Public propertyBeta
The coefficient on a time trend.
Public propertyCValue
The c-value of the test statistic.
Public propertyDecision
The decision for the test:
trueif the null hypothesis is accepted (stationary).
falseif the null hypothesis is rejected (unit root).
Public propertyDecisionPrinciple
Marks whether decision should be made comparing P-value with Significance level or test statistics with critical value.
(Inherited from HypothesisTest.)
Public propertyPValue
The p-value of the test statistic.
(Overrides HypothesisTestPValue.)
Public propertySignificanceLevel
Significance level. http://en.wikipedia.org/wiki/Statistical_significance
(Inherited from HypothesisTest.)
Public propertySSE
The sum of squared errors.
Public propertyStatistic
The statistic of KPSS test.
Public propertyStatistics
Test statistics. http://en.wikipedia.org/wiki/Test_statistic
(Inherited from HypothesisTest.)
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Methods
  NameDescription
Public methodEquals
Determines whether the specified object is equal to the current object.
(Inherited from Object.)
Public methodGetHashCode
Serves as the default hash function.
(Inherited from Object.)
Public methodGetType
Gets the Type of the current instance.
(Inherited from Object.)
Public methodToString
Returns a string that represents the current object.
(Inherited from Object.)
Public methodUpdate(Double)
Updates test statistic using provided sample.
(Inherited from OneSampleTest.)
Public methodUpdate(Vector)
Updates test statistic using provided sample.
(Inherited from OneSampleTest.)
Public methodUpdate(Double, Int32, Int32)
Updates test statistic using provided sample.
(Inherited from OneSampleTest.)
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See Also