[ENH] parameter estimators for stationarity - ADF and KPSS #4247
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fkiraly
added
interfacing algorithms
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This PR adds two parameter estimators for stationarity - ADF (Augmented Dickey-Fuller) and KPSS (Kwiatkowski-Phillips-Schmidt-Shin) tests, directly interfacing
statsmodels.tsa.stattools.Besides exposing them in the unified
sktimeinterface, a fitted parameterstationaryis added which tells the user whether the test considers the time series stationary.This can be used, for instance, for conditional differencing in a pipeline where the boolean can be forwarded to an
OptionalPassthrough.This PR also contains some docstring fixes discovered elsewhere, in the context of this piece of work.
FYI @ngupta23, you might find this useful. I'll add a pipeline example to the docstring once all PR it would be conditional on are merged.
It would be apprecated if reviewers could check the logic - especially behind the boolean. E.g., as it is currently coded, one of the tests has "stationarity" as rejection, one as accepting the null - this is intentionally inconsistent.