Differences

Find the optimal number of differences

num_seas_diffs

num_seas_diffs(x, season_length, max_d=1)

Determine the optimal number of seasonal differences for stationarity.

Uses a seasonal strength heuristic based on STL decomposition to determine if seasonal differencing is needed. The function applies seasonal differencing iteratively until the seasonal strength falls below the threshold or the maximum number of differences is reached.

Parameters:

Name	Type	Description	Default
x	ndarray	Array with the time series.	required
season_length	int	Length of the seasonal pattern.	required
max_d	int	Maximum number of differences to consider. Defaults to 1.	1

Returns:

Name	Type	Description
int	int	Optimal number of seasonal differences.

num_diffs

num_diffs(x, max_d=1)

Determine the optimal number of non-seasonal differences for stationarity.

Uses the KPSS (Kwiatkowski-Phillips-Schmidt-Shin) test to determine how many times the series needs to be differenced to achieve stationarity. The function applies differencing iteratively until the KPSS statistic falls below the threshold or the maximum number of differences is reached.

Parameters:

Name	Type	Description	Default
x	ndarray	Array with the time series.	required
max_d	int	Maximum number of differences to consider. Defaults to 1.	1

Returns:

Name	Type	Description
int	int	Optimal number of differences.

diff

diff(x, d)

Subtract previous values of the series

Parameters:

Name	Type	Description	Default
x	ndarray	Array with the time series.	required
d	int	Lag to subtract	required

Returns:

Type	Description
ndarray	np.ndarray: Differenced time series.