def get_chu_stinchcombe_white_statistics(series: pd.Series,
test_type: str = 'one_sided',
num_threads: int = 8,
verbose: bool = True) -> pd.Series:
"""
Multithread Chu-Stinchcombe-White test implementation, p.251
:param series: (pd.Series) Series to get statistics for
:param test_type: (str): Two-sided or one-sided test
:param num_threads: (int) Number of cores
:param verbose: (bool) Flag to report progress on asynch jobs
:return: (pd.Series) Statistics
"""
molecule = series.index[
2:
series.shape[0]] # For the first two values we don't have enough info
s_n_t_series = mp_pandas_obj(
func=_get_s_n_for_t,
pd_obj=('molecule', molecule),
series=series,
test_type=test_type,
num_threads=num_threads,
verbose=verbose,
)
return s_n_t_series
def get_chow_type_stat(series: pd.Series,
min_length: int = 20,
num_threads: int = 8) -> pd.Series:
"""
Multithread implementation of Chow-Type Dickey-Fuller Test, p.251-252
:param series: (pd.Series) Series to test
:param min_length: (int) Minimum sample length used to estimate statistics
:param num_threads: (int): Number of cores to use
:return: (pd.Series) Chow-Type Dickey-Fuller Test statistics
"""
# Indices to test. We drop min_length first and last values
molecule = series.index[min_length:series.shape[0] - min_length]
dfc_series = mp_pandas_obj(
func=_get_dfc_for_t,
pd_obj=('molecule', molecule),
series=series,
num_threads=num_threads,
)
return dfc_series