Automatic stationary conversion

def make_stationary(data: pd.Series, alpha: float = 0.05, max_diff_order: int = 10) -> dict:
    # Test to see if the time series is already stationary
    if adfuller(data)[1] < alpha:
        return {
            'differencing_order': 0,
            'time_series': np.array(data)
        }
    
    # A list to store P-Values
    p_values = []
    
    # Test for differencing orders from 1 to max_diff_order (included)
    for i in range(1, max_diff_order + 1):
        # Perform ADF test
        result = adfuller(data.diff(i).dropna())
        # Append P-value
        p_values.append((i, result[1]))
        
    # Keep only those where P-value is lower than significance level
    significant = [p for p in p_values if p[1] < alpha]
    # Sort by the differencing order
    significant = sorted(significant, key=lambda x: x[0])
    
    # Get the differencing order
    diff_order = significant[0][0]
    
    # Make the time series stationary
    stationary_series = data.diff(diff_order).dropna()
    
    return {
        'differencing_order': diff_order,
        'time_series': np.array(stationary_series)
    }

Source: gist.githubusercontent.com

Similar codes

0 vote313 views1 answer
Python get volume free space
Python
0 vote353 views1 answer
How to save multiple choices in django site:stackoverflow.com
Python Django
0 vote294 views1 answer
Runpy.py", line 194, in _run_module_as_main return _run_code(code, main_globals, None,
Python
1 vote384 views1 answer
Flask clear session
Python Flask
0 vote345 views1 answer
IntersectAll dynamo revit
Python
0 vote344 views1 answer
How to use str()
Python
0 vote340 views1 answer
Python selenium canvas fingerprinting
Python
0 vote323 views1 answer
Raspistill timelapse
Python
0 vote324 views1 answer
Python message from byte
Python
0 vote299 views1 answer
Featch detail of subscription in stripe api
Python