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feed enough data into ks and adf tests #44

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Aug 26, 2013

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mabrek
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@mabrek mabrek commented Aug 20, 2013

fixes #43

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just wondering - what's the basis for 20?

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mabrek commented Aug 24, 2013

20 comes from default 'startup' value of detectChangePoint function from http://cran.r-project.org/web/packages/cpm/cpm.pdf
The idea is that kolmogorov-smirnov test is too noisy when sample size is small.
Another reason is that adf test uses autocorrelation with maximum lag 10 so the sample size should be larger than 10.

astanway pushed a commit that referenced this pull request Aug 26, 2013
feed enough data into ks and adf tests
@astanway astanway merged commit 264bc7d into etsy:master Aug 26, 2013
@astanway astanway mentioned this pull request Aug 29, 2013
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Lag error on ks_test
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