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KpssOptions

What a KPSS test may be told.

public sealed record KpssOptions

Properties — Regression is stationarity around a level (TrendTerms.Constant, the default) or around a line (TrendTerms.ConstantAndTrend). LagRule is how the long-run variance's window is chosen, a KpssLagRule; Automatic by default. LagCount is the window under KpssLagRule.Fixed, and ignored otherwise; 0 by default.

Exceptions — ArgumentOutOfRangeException when Regression is TrendTerms.None or TrendTerms.ConstantAndQuadraticTrend, which KPSS does not define, when LagRule is a value KpssLagRule does not declare, or when LagCount is negative; each checked where the value is set.

Example — Schwert's legacy window is wider than Hobijn's on this series, and the statistic falls with it.

using Lodestar.Stats.TimeSeries;

double[] walk = [0.0, 1.2, 0.7, 2.1, 3.0, 2.4, 3.9, 5.1, 4.6, 6.0, 7.3, 6.8,
                 8.2, 9.5, 9.1, 10.4, 11.8, 11.2, 12.7, 14.0, 13.5, 14.9, 16.2, 15.8];

KpssResult legacy = Stationarity.Kpss(walk, new KpssOptions { LagRule = KpssLagRule.Legacy });

int window = legacy.LagCount;                        // => 9
double statistic = Math.Round(legacy.Statistic, 4);  // => 0.397
double p = Math.Round(legacy.PValue, 4);             // => 0.0784

Remarks — being a record of value types, two option sets with the same three values are equal.

Applies to — net10.0, netstandard2.0.

See also — Stationarity.Kpss, KpssResult, the Python equivalence table.