https://github.com/ssoudan/unit-root

Unit root tests in Rust
https://github.com/ssoudan/unit-root

mathematics rust stationarity-test statistics time-series unit-root-test

Last synced: 6 days ago
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Unit root tests in Rust

• Host: GitHub
• URL: https://github.com/ssoudan/unit-root
• Owner: ssoudan
• License: apache-2.0
• Created: 2022-09-25T01:51:58.000Z (over 2 years ago)
• Default Branch: main
• Last Pushed: 2023-10-11T17:09:02.000Z (about 1 year ago)
• Last Synced: 2024-10-31T11:56:48.807Z (2 months ago)
• Topics: mathematics, rust, stationarity-test, statistics, time-series, unit-root-test
• Language: Rust
• Homepage:
• Size: 83 KB
• Stars: 3
• Watchers: 2
• Forks: 1
• Open Issues: 2
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

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README

        
# Unit root tests in Rust

![Build](https://github.com/ssoudan/unit-root/actions/workflows/rust.yml/badge.svg)

## Description

Stationarity tests for time-series data in Rust. 

At the moment:

[Dickey-Fuller test](https://en.wikipedia.org/wiki/Dickey–Fuller_test) and 

[Augmented Dickey-Fuller test](https://en.wikipedia.org/wiki/Augmented_Dickey–Fuller_test) with no constan no trend, constant or constant and trend.

## License 

This project is licensed under the terms of the Apache License 2.0.

## Usage

Augmented Dickey-Fuller test:

```rust

use unit_root::prelude::distrib::{AlphaLevel,Regression};

use unit_root::prelude::nalgebra::DVector;

use unit_root::prelude::*;

fn main() {

    let y = DVector::from_row_slice(&[

        -0.89642362,

        0.3222552,

        -1.96581989,

        -1.10012936,

        -1.3682928,

        1.17239875,

        2.19561259,

        2.54295031,

        2.05530587,

        1.13212955,

        -0.42968979,

    ]);

    let lag = 2;

    

    // compute the test statistic

    let regression = Regression::Constant;

    let report = tools::adf_test(&y, lag, regression).unwrap();

    // critical values for the model with a constant but no trend:

    let critical_value: f32 = distrib::dickeyfuller::get_critical_value(

        regression,

        report.size,

        AlphaLevel::OnePercent,

    )

    .unwrap();

    assert_eq!(report.size, 8);

    // comparison

    let t_stat = report.test_statistic;

    println!("t-statistic: {}", t_stat);

    println!("critical value: {}", critical_value);

}

```

See [examples](examples/) for more.