7/8/2023 0 Comments Xlstat breusch pagan testIt is based on the null hypothesis: H0: The T variables follow one or more distributions that have the same mean. The Buishand’s test (1982) can be used on variables following any type of distribution. This result confirms the result of the first test. Since the p-value is very small, we reject the null hypothesis and thus conclude that there exists a shift in the time series. The null hypotheses is: H0: The obtained ratios follow a N(0,1) distribution. The SNHT test (Standard Normal Homogeneity Test) is usually applied to a series of ratios that compare the observations with an average. The associated plot confirms this result. The p-value shows that the null hypothesis is rejected we can conclude that there is a shift between two parts of our time series. The Pettitt's test is an adaptation of the rank-based Mann-Whitney test that allows identifying the time at which the shift occurs. The Pettitt's test is a nonparametric test that requires no assumption about the distribution of data. Then, the results of the first test are displayed. The results start with the basic statistics associated to the time series. Interpreting the results for a homogeneity test of a time series Once you have clicked on the OK button, the computation starts. It means that there is a shift between two parts of the time series. In the Options tab, we select Shift 0 as alternative hypothesis. The dates are in the first column, they correspond to days of the month.įour tests can be applied: The Pettitt's test, Alexandersson’s SNHT test, Buishand’s test and von Neumann’s ratio test. You have to select the time series “flow”.Īs we selected the column title for the series, we leave the option Series labels activated. Once you've clicked on the button, the dialog box appears. Setting up a homogeneity test of a time seriesĪfter opening XLSTAT, click the Time button in the ribbon and select Homogeneity tests (see below). Exact calculations are either impossible or too costly in computing time. ![]() For all tests, XLSTAT provides p-values using Monte Carlo resamplings. The tests presented in this tool correspond to the alternative hypothesis of a single shift. The variety of the tests comes from the fact that there are many possible alternative hypotheses: change in distribution, changes in average (one or more times) or presence of trend. Homogeneity tests involve a large number of tests for which the null hypothesis is that a time series is homogenous between two given times. Our goal is to check if this time series is homogenous. Dataset for the homogeneity test of a time seriesĭata are measures of the flow of a river taken every day during one month (30 measures). This tutorial will help you set up and interpret a homogeneity test on a time series in Excel using the XLSTAT statistical software.
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