Saturday, March 12, 2022

Augmented Dickey–Fuller test

null H0: unit root is present in a time series sample, ie non-stationary. 
alternative H1: stationary. 

Stationary means that the characteristic is not changing over time. 


Reference: 
https://en.wikipedia.org/wiki/Augmented_Dickey%E2%80%93Fuller_test
https://en.wikipedia.org/wiki/Stationary_process

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