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PValueBound

Whether a tabulated p-value was clamped at the end of its table, and which way the truth lies.

public enum PValueBound

Fields — None means the statistic fell inside the table and the p-value is interpolated. ActualIsSmaller means the statistic is at or past the table's smallest p-value, which came back, so the true p-value is smaller. ActualIsGreater means the statistic is at or before the table's largest p-value, which came back, so the true p-value is greater.

Example — a narrow window pushes the statistic past the 1 % critical value.

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];

var fixedWindow = new KpssOptions { LagRule = KpssLagRule.Fixed, LagCount = 2 };

PValueBound automatic = Stationarity.Kpss(walk).PValueBound;           // => None
PValueBound narrow = Stationarity.Kpss(walk, fixedWindow).PValueBound;  // => ActualIsSmaller

Remarks — the reference raises an InterpolationWarning exactly when it returns an end of the table; this is that warning as a value.

Applies to — net10.0, netstandard2.0.

See also — KpssResult, Stationarity.Kpss.