jcorrius

import numpy as np

def variance_ratio(ts, lag = 2):
    """
    Returns the variance ratio test result
    """
    # make sure we are working with an array, convert if necessary
    ts = np.asarray(ts)
    
    # Apply the formula to calculate the test

jcorrius

def hurst(ts):
    """
    Returns the Hurst Exponent of the time series vector ts
    """
    # make sure we are working with an array, convert if necessary
    ts = np.asarray(ts)

    # Helper variables used during calculations
    lagvec = []
    tau = []

jcorrius

import numpy as np
from statsmodels.regression.linear_model import OLS
from statsmodels.tsa.tsatools import lagmat, add_trend
from statsmodels.tsa.adfvalues import mackinnonp

def adf(ts):
    """
    Augmented Dickey-Fuller unit root test
    """
    # make sure we are working with an array, convert if necessary