hanaml.StationarityTest.Rd
hanaml.StationarityTest is a R wrapper for SAP HANA PAL Stationarity test.
hanaml.StationarityTest(
data,
key = NULL,
endog = NULL,
method = NULL,
mode = NULL,
lag = NULL,
probability = NULL
)
DataFrame
DataFrame containting the data.
character, optional
Name of the ID column.
Defaults to the first column if not provided.
character, optional
The endogenous variable, i.e. time series.
Defaults to the first non-ID column.
character, optional
Statistic test that used to determine stationarity. The options are "kpss" and "adf".
Defaults to "kpss".
character, optional
Type of stationarity to determine. The options are "level", "trend" and "no".
Note that option "no" is not applicable to "kpss".
Defaults to "level".
integer, optional
The lag order to calculate the test statistic.
Default value is "kpss": int(12*(data_length / 100)^0.25" ) and "adf": int(4*(data_length / 100)^(2/9)).
double, optional
The confidence level for confirming stationarity.
Defaults to 0.9.
DataFrame
Statistics for time series, structured as follows:
STAT_NAME
: Name of the statistics of the series.
STAT_VALUE
: Indicates the value of corresponding stats.
hanaml.StationarityTest means that a time series has a constant mean and constant variance over time. For many time series models, the input data has to be stationary for reasonable analysis.
Input DataFrame data:
> df$Head(3)
TIME_STAMP SERIES
0 0 0.0
1 1 1.00
2 2 1586.00
Invoke the function:
> st <- hanaml.StationarityTest(data,
endog='SERIES', key='TIME_STAMP',
method='kpss', mode='trend',
lag=5, probability=0.95)
Output:
> st$head(3)$Collect()
1 STATS_NAME STATS_VALUE
2 stationary 0
3 kpss_stat 0.26801
4 p-value 0.01