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KPSS test for stationary processes #1269
not necessarily. It's
I think what's more important in this context is whether such a statistical function should go into sklearn. Probably statsmodels or scipy would be more appropriate.
There are a large number of unit root tests and many of them don't have great performance. AFAIR, adf is the best one. IIRC, the interesting parts about KPSS or another one (?) is that it has the null and alternative hypothesis reversed compared to adf.
I think we would like to have more unit root tests, also against breaks in trend and panel unit root tests. However, since we have adf, I don't think it has very high priority.