kpss()
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Calculates the Kwiatkowski–Phillips–Schmidt–Shin (KPSS) statistic on the specified time window of the input stream. You can’t use it to aggregate time series. To learn more about KPSS, do a web search for the term "KPSS".
Syntax
kpss(over=duration[, mode=calcmode])
Parameter definitions
| Parameter | Type | Description |
|---|---|---|
over | Duration (number and duration units indicator) Durations are specified as a number followed by a single character: s: seconds m: minutes h: hours d: days Default is None. | Required: The duration over which to calculate the KPSS statistic of each input timeseries |
mode | string. Default is "level" | Optional: Whether to test for stationary ("level") or trend-stationary ("trend") KPSS statistics |
Returns a stream.
Notes
Calculates the KPSS statistic for the null hypothesis that the time series is stationary (if mode is 'level') or trend-stationary (if mode is 'trend'). The method doesn’t use lags to estimate the variance of the errors of the model, so it assumes that errors are independently and identically distributed.
Examples
A = data('jvm.cpu.load') A.kpss(over='1h').publish('1h_kpss_stat')