sigmaquant.research.autocorr.AutocorrelationTest#

class sigmaquant.research.autocorr.AutocorrelationTest( test_name, statistic, p_value, reject, info=<factory>, )#

Container for autocorrelation diagnostic test results.

Parameters:

test_name (str) – Name of the statistical test.
statistic (float | List[float] | None) – Value(s) of the test statistic. Some tests return one value per lag.
p_value (float | List[float] | None) – P-value(s) associated with the test statistic.
reject (bool) – True if the null hypothesis of no autocorrelation is rejected at the chosen significance level.
info (dict[str, Any]) – Additional diagnostic information (e.g. number of lags used, degrees of freedom, sample size).

__init__( test_name, statistic, p_value, reject, info=<factory>, )#

Methods

__init__(test_name, statistic, p_value, reject)

Attributes