mlfinlab.structural_breaks.cusum

Implementation of Chu-Stinchcombe-White test.

Module Contents

Functions

get_chu_stinchcombe_white_statistics(→ pandas.Series)

Multithread Chu-Stinchcombe-White test implementation, p.251.
get_chu_stinchcombe_white_statistics(series: pandas.Series, test_type: str = 'one_sided', num_threads: int = 8, verbose: bool = True) → pandas.Series

Multithread Chu-Stinchcombe-White test implementation, p.251.

Parameters:

  • series – (pd.Series) Series to get statistics for.

  • test_type – (str) Two-sided or one-sided test.

  • num_threads – (int) Number of cores.

  • verbose – (bool) Flag to report progress on asynch jobs.

Returns:

(pd.Series) Statistics.