LongMemoryEstimate.test#

LongMemoryEstimate.test(null)[source]#

The same estimate re-aimed at d = null.

Only statistic, pvalue, and null_d change; the estimate, its standard error, and the bandwidth are the same, because a semiparametric estimate does not depend on the hypothesis.

Parameters:

null (float) – The value of d under the null.

Return type:

LongMemoryEstimate

Returns:

A record with statistic and pvalue against null.

Example

>>> import numpy as np
>>> rng = np.random.default_rng(0)
>>> est = exact_local_whittle(np.cumsum(rng.standard_normal(500)))
>>> unit_root = est.test(1.0)
>>> unit_root.null_d, round(unit_root.statistic, 3), bool(unit_root.pvalue > 0.05)
(1.0, 0.882, True)