Esempio n. 1
0
        public void DifferenceToStationarity()
        {
            int n = 100;
            // Generate white noise
            TimeSeries series = GenerateMA1TimeSeries(0.0, 0.1, 1.0, n);

            // Integrate it
            series.Integrate(0.0);
            //Assert.IsTrue(series.Count == n);
            // The result should be correlated
            TestResult result1 = series.LjungBoxTest();

            Assert.IsTrue(result1.Probability < 0.01);

            // Difference to return to original values
            series.Difference();
            //Assert.IsTrue(series.Count == (n - 1));
            // The result should be correlated
            TestResult result2 = series.LjungBoxTest();

            Assert.IsTrue(result2.Probability > 0.01);
        }