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  • Installation
  • API Reference

    • Performance Subpackage
    • Research Subpackage
    1. API Reference
    2. Research Subpackage
    3. Autocorrelation
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    Autocorrelation#

    Functions for autocorrelation diagnostics and tests.

    sigmaquant.research.autocorr.acf

    Compute sample autocorrelation function.

    sigmaquant.research.autocorr.bartlett

    Bartlett test for autocorrelation at a specific lag.

    sigmaquant.research.autocorr.ljung_box

    Ljung-Box (or Box-Pierce) test for autocorrelation.

    sigmaquant.research.autocorr.AutocorrelationTest

    Container for autocorrelation diagnostic test results.

    PreviousResearch Subpackage Next sigmaquant.research.autocorr.acf

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