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 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

ParameterTypeDescription
overDuration (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
modestring. 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')