adfuller.py 文件源码

def do_adfuller(path, srv, p_values):
    filename = os.path.join(path, srv["filename"])
    df = load_timeseries(filename, srv)
    columns = []
    for c in df.columns:
        if (not df[c].isnull().all()) and df[c].var() != 0:
            columns.append(c)
    df = df[columns]
    if len(columns) == 0: return []
    for i, col in enumerate(df.columns):
        serie = df[col].dropna()
        if is_monotonic(serie):
            serie = serie.diff()[1:]

        for reg in p_values:
            v = adfuller(serie, regression=reg)[1]
            if math.isnan(v): # uncertain
                p_values[reg].append(-0.1)
            else:
                p_values[reg].append(v)

    return p_values