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module probextreme.stat_test

Collection of statistical test usefull to caracterise the data S. Filhol, December 2024

function visualize_signal_stationarity

visualize_signal_stationarity(data, freq=10)

Function to quickly visualize stationarity of the data using rolling mean, median and standard deviation

function adfuller_test

adfuller_test(data, significance_level=0.05)

Perform an Augmented Dicker-Fuller test for testing the stationarity of a signal

Args:

  • data (array or timeseries): data to test
  • significance_level (float): significance level to compare P-value. Default is 0.05

External resource: https://en.wikipedia.org/wiki/Augmented_Dickey%E2%80%93Fuller_test

function levene_test

levene_test(data, split_index=None, significance_level=0.05)

It tests the null hypothesis that the population variances are equal

Args:

  • data (array or timeseries): data to test
  • split_index (int): index to split the data in two distinct groups
  • significance_level (float): significance level to compare P-value. Default is 0.05

External resource: https://en.wikipedia.org/wiki/Levene%27s_test

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