{"id":1757,"date":"2023-07-25T02:36:28","date_gmt":"2023-07-25T02:36:28","guid":{"rendered":"https:\/\/statorials.org\/ja\/%e3%83%86%e3%82%99%e3%82%a3%e3%83%83%e3%82%ad%e3%83%bc%e3%83%bb%e3%83%95%e3%83%a9%e3%83%bc%e3%83%bb%e3%83%86%e3%82%b9%e3%83%88python\/"},"modified":"2023-07-25T02:36:28","modified_gmt":"2023-07-25T02:36:28","slug":"%e3%83%86%e3%82%99%e3%82%a3%e3%83%83%e3%82%ad%e3%83%bc%e3%83%bb%e3%83%95%e3%83%a9%e3%83%bc%e3%83%bb%e3%83%86%e3%82%b9%e3%83%88python","status":"publish","type":"post","link":"https:\/\/statorials.org\/ja\/%e3%83%86%e3%82%99%e3%82%a3%e3%83%83%e3%82%ad%e3%83%bc%e3%83%bb%e3%83%95%e3%83%a9%e3%83%bc%e3%83%bb%e3%83%86%e3%82%b9%e3%83%88python\/","title":{"rendered":"Python \u3067\u306e\u62e1\u5f35 dickey-fuller \u30c6\u30b9\u30c8 (\u4f8b\u4ed8\u304d)"},"content":{"rendered":"<p><\/p>\n<hr>\n<p><span style=\"color: #000000;\">\u6642\u7cfb\u5217\u306b\u50be\u5411\u304c\u306a\u304f\u3001\u6642\u9593\u306e\u7d4c\u904e\u3068\u3068\u3082\u306b\u4e00\u5b9a\u306e\u5909\u52d5\u3092\u793a\u3057\u3001\u6642\u9593\u306e\u7d4c\u904e\u3068\u3068\u3082\u306b\u4e00\u5b9a\u306e\u81ea\u5df1\u76f8\u95a2\u69cb\u9020\u304c\u3042\u308b\u5834\u5408\u3001\u6642\u7cfb\u5217\u306f\u300c\u5b9a\u5e38\u300d\u3067\u3042\u308b\u3068\u8a00\u308f\u308c\u307e\u3059\u3002<\/span><\/p>\n<p><span style=\"color: #000000;\">\u6642\u7cfb\u5217\u304c\u5b9a\u5e38\u3067\u3042\u308b\u304b\u3069\u3046\u304b\u3092\u30c6\u30b9\u30c8\u3059\u308b 1 \u3064\u306e\u65b9\u6cd5\u306f\u3001\u6b21\u306e\u5e30\u7121\u4eee\u8aac\u3068\u5bfe\u7acb\u4eee\u8aac\u3092\u4f7f\u7528\u3059\u308b<strong>\u62e1\u5f35\u30c7\u30a3\u30c3\u30ad\u30fc\u30fb\u30d5\u30e9\u30fc\u691c\u5b9a\u3092<\/strong>\u5b9f\u884c\u3059\u308b\u3053\u3068\u3067\u3059\u3002<\/span><\/p>\n<p> <span style=\"color: #000000;\"><strong>H <sub>0<\/sub> :<\/strong>\u6642\u7cfb\u5217\u306f\u975e\u5b9a\u5e38\u3067\u3059\u3002\u8a00\u3044\u63db\u3048\u308c\u3070\u3001\u305d\u306e\u69cb\u9020\u306f\u6642\u9593\u306b\u4f9d\u5b58\u3057\u3001\u305d\u306e\u5909\u5316\u306f\u6642\u9593\u306e\u7d4c\u904e\u3068\u3068\u3082\u306b\u4e00\u5b9a\u3067\u306f\u3042\u308a\u307e\u305b\u3093\u3002<\/span><\/p>\n<p> <span style=\"color: #000000;\"><strong>H <sub>A<\/sub> :<\/strong>\u6642\u7cfb\u5217\u306f\u9759\u6b62\u3057\u3066\u3044\u307e\u3059\u3002<\/span><\/p>\n<p><span style=\"color: #000000;\">\u691c\u5b9a\u306e<a href=\"https:\/\/statorials.org\/ja\/p-\u5024\u306e\u7d71\u8a08\u7684\u6709\u610f\u6027\/\" target=\"_blank\" rel=\"noopener\">p \u5024\u304c<\/a>\u7279\u5b9a\u306e\u6709\u610f\u6c34\u6e96 (\u4f8b: \u03b1 = 0.05) \u3092\u4e0b\u56de\u3063\u3066\u3044\u308b\u5834\u5408\u3001\u5e30\u7121\u4eee\u8aac\u3092\u68c4\u5374\u3057\u3001\u6642\u7cfb\u5217\u304c\u5b9a\u5e38\u3067\u3042\u308b\u3068\u7d50\u8ad6\u4ed8\u3051\u308b\u3053\u3068\u304c\u3067\u304d\u307e\u3059\u3002<\/span><\/p>\n<p><span style=\"color: #000000;\">\u6b21\u306e\u30b9\u30c6\u30c3\u30d7\u30d0\u30a4\u30b9\u30c6\u30c3\u30d7\u306e\u4f8b\u306f\u3001Python \u3067\u7279\u5b9a\u306e\u6642\u7cfb\u5217\u306b\u5bfe\u3057\u3066\u62e1\u5f35\u30c7\u30a3\u30c3\u30ad\u30fc \u30d5\u30e9\u30fc \u30c6\u30b9\u30c8\u3092\u5b9f\u884c\u3059\u308b\u65b9\u6cd5\u3092\u793a\u3057\u3066\u3044\u307e\u3059\u3002<\/span><\/p>\n<h3><span style=\"color: #000000;\"><strong>\u4f8b: Python \u3067\u306e\u62e1\u5f35\u3055\u308c\u305f Dickey-Fuller \u30c6\u30b9\u30c8<\/strong><\/span><\/h3>\n<p><span style=\"color: #000000;\">Python \u306b\u6b21\u306e\u6642\u7cfb\u5217\u30c7\u30fc\u30bf\u304c\u3042\u308b\u3068\u3057\u307e\u3059\u3002<\/span><\/p>\n<pre style=\"background-color: #ececec; font-size: 15px;\"> <strong>data = [3, 4, 4, 5, 6, 7, 6, 6, 7, 8, 9, 12, 10]<\/strong><\/pre>\n<p><span style=\"color: #000000;\">\u30c7\u30fc\u30bf\u306b\u5bfe\u3057\u3066\u62e1\u5f35\u30c7\u30a3\u30c3\u30ad\u30fc\u30fb\u30d5\u30e9\u30fc\u691c\u5b9a\u3092\u5b9f\u884c\u3059\u308b\u524d\u306b\u3001\u30c7\u30fc\u30bf\u3092\u8996\u899a\u5316\u3059\u308b\u305f\u3081\u306e\u7c21\u5358\u306a\u30d7\u30ed\u30c3\u30c8\u3092\u4f5c\u6210\u3067\u304d\u307e\u3059\u3002<\/span> <\/p>\n<pre style=\"background-color: #ececec; font-size: 15px;\"> <strong><span style=\"color: #008000;\">import<\/span> matplotlib. <span style=\"color: #3366ff;\">pyplot<\/span> <span style=\"color: #008000;\">as<\/span> plt\n\nplt. <span style=\"color: #3366ff;\">plot<\/span> (data)<\/strong> <\/pre>\n<p><img decoding=\"async\" loading=\"lazy\" class=\" wp-image-17233 aligncenter\" src=\"https:\/\/statorials.org\/wp-content\/uploads\/2023\/08\/adf1.png\" alt=\"\" width=\"400\" height=\"275\" srcset=\"\" sizes=\"auto, \"><\/p>\n<p><span style=\"color: #000000;\">\u62e1\u5f35\u3055\u308c\u305f Dickey-Fuller \u30c6\u30b9\u30c8\u3092\u5b9f\u884c\u3059\u308b\u306b\u306f\u3001 <strong>statsmodels<\/strong>\u30e9\u30a4\u30d6\u30e9\u30ea\u306e<a href=\"https:\/\/www.statsmodels.org\/stable\/generated\/statsmodels.tsa.stattools.adfuller.html\" target=\"_blank\" rel=\"noopener\">adfuller()<\/a>\u95a2\u6570\u3092\u4f7f\u7528\u3067\u304d\u307e\u3059\u3002\u307e\u305a\u3001statsmodels \u3092\u30a4\u30f3\u30b9\u30c8\u30fc\u30eb\u3059\u308b\u5fc5\u8981\u304c\u3042\u308a\u307e\u3059\u3002<\/span><\/p>\n<pre style=\"background-color: #ececec; font-size: 15px;\"> <strong>pip install statsmodels\n<\/strong><\/pre>\n<p><span style=\"color: #000000;\">\u6b21\u306b\u3001\u6b21\u306e\u30b3\u30fc\u30c9\u3092\u4f7f\u7528\u3057\u3066\u3001\u62e1\u5f35\u3055\u308c\u305f Dickey-Fuller \u30c6\u30b9\u30c8\u3092\u5b9f\u884c\u3067\u304d\u307e\u3059\u3002<\/span><\/p>\n<pre style=\"background-color: #ececec; font-size: 15px;\"> <strong><span style=\"color: #008000;\">from<\/span> statsmodels. <span style=\"color: #3366ff;\">tsa<\/span> . <span style=\"color: #3366ff;\">stattools<\/span> <span style=\"color: #008000;\">import<\/span> adfuller\n\n<span style=\"color: #008080;\">#perform augmented Dickey-Fuller test<\/span>\nadfuller(data)\n\n(-0.9753836234744063,\n 0.7621363564361013,\n 0,\n 12,\n {'1%': -4.137829282407408,\n  '5%': -3.1549724074074077,\n  '10%': -2.7144769444444443},\n 31.2466098872313)\n<\/strong><\/pre>\n<p><span style=\"color: #000000;\">\u7d50\u679c\u306e\u6700\u3082\u91cd\u8981\u306a\u5024\u3092\u89e3\u91c8\u3059\u308b\u65b9\u6cd5\u306f\u6b21\u306e\u3068\u304a\u308a\u3067\u3059\u3002<\/span><\/p>\n<ul>\n<li><span style=\"color: #000000;\">\u30c6\u30b9\u30c8\u7d71\u8a08: <strong>-0.97538<\/strong><\/span><\/li>\n<li> <span style=\"color: #000000;\">P \u5024: <strong>0.7621<\/strong><\/span><\/li>\n<\/ul>\n<p> <span style=\"color: #000000;\">p \u5024\u306f 0.05 \u672a\u6e80\u3067\u306f\u306a\u3044\u305f\u3081\u3001\u5e30\u7121\u4eee\u8aac\u3092\u68c4\u5374\u3067\u304d\u307e\u305b\u3093\u3002<\/span><\/p>\n<p><span style=\"color: #000000;\">\u3053\u308c\u306f\u3001\u6642\u7cfb\u5217\u304c\u9759\u6b62\u3057\u3066\u3044\u306a\u3044\u3053\u3068\u3092\u610f\u5473\u3057\u307e\u3059\u3002\u8a00\u3044\u63db\u3048\u308c\u3070\u3001\u305d\u306e\u69cb\u9020\u306f\u6642\u9593\u306b\u4f9d\u5b58\u3057\u3001\u305d\u306e\u5909\u5316\u306f\u6642\u9593\u306e\u7d4c\u904e\u3068\u3068\u3082\u306b\u4e00\u5b9a\u3067\u306f\u3042\u308a\u307e\u305b\u3093\u3002<\/span><\/p>\n<h3><span style=\"color: #000000;\"><strong>\u8ffd\u52a0\u30ea\u30bd\u30fc\u30b9<\/strong><\/span><\/h3>\n<p><a href=\"https:\/\/statorials.org\/ja\/matplotlib-\u6642\u7cfb\u5217\/\" target=\"_blank\" rel=\"noopener\">Matplotlib \u3067\u6642\u7cfb\u5217\u3092\u30d7\u30ed\u30c3\u30c8\u3059\u308b\u65b9\u6cd5<\/a><br \/><a href=\"https:\/\/statorials.org\/ja\/\u30cf\u309a\u30f3\u30bf\u3099\u306e\u8907\u6570\u306e\u30d5\u309a\u30ed\u30c3\u30c8\u30b7\u30ea\u30fc\u30b9\u3099\/\" target=\"_blank\" rel=\"noopener\">Pandas DataFrame \u304b\u3089\u8907\u6570\u306e\u30b7\u30ea\u30fc\u30ba\u3092\u30d7\u30ed\u30c3\u30c8\u3059\u308b\u65b9\u6cd5<\/a><br \/><a href=\"https:\/\/statorials.org\/ja\/\u30de\u30f3\u30fb\u30b1\u30f3\u30bf\u3099\u30eb\u304b\u3099python\u3092\u30c6\u30b9\u30c8\u3059\u308b\/\" target=\"_blank\" rel=\"noopener\">Python \u3067 Mann-Kendall \u50be\u5411\u30c6\u30b9\u30c8\u3092\u5b9f\u884c\u3059\u308b\u65b9\u6cd5<\/a><\/p>\n","protected":false},"excerpt":{"rendered":"<p>\u6642\u7cfb\u5217\u306b\u50be\u5411\u304c\u306a\u304f\u3001\u6642\u9593\u306e\u7d4c\u904e\u3068\u3068\u3082\u306b\u4e00\u5b9a\u306e\u5909\u52d5\u3092\u793a\u3057\u3001\u6642\u9593\u306e\u7d4c\u904e\u3068\u3068\u3082\u306b\u4e00\u5b9a\u306e\u81ea\u5df1\u76f8\u95a2\u69cb\u9020\u304c\u3042\u308b\u5834\u5408\u3001\u6642\u7cfb\u5217\u306f\u300c\u5b9a\u5e38\u300d\u3067\u3042\u308b\u3068\u8a00\u308f\u308c\u307e\u3059\u3002 \u6642\u7cfb\u5217\u304c\u5b9a\u5e38\u3067\u3042\u308b\u304b\u3069\u3046\u304b\u3092\u30c6\u30b9\u30c8\u3059\u308b 1 \u3064\u306e\u65b9\u6cd5\u306f\u3001\u6b21\u306e\u5e30\u7121\u4eee\u8aac\u3068\u5bfe\u7acb\u4eee\u8aac [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[16],"tags":[],"class_list":["post-1757","post","type-post","status-publish","format-standard","hentry","category-16"],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v21.5 - https:\/\/yoast.com\/wordpress\/plugins\/seo\/ -->\n<title>Python \u3067\u306e\u62e1\u5f35 Dickey-Fuller \u30c6\u30b9\u30c8 (\u4f8b\u3042\u308a)<\/title>\n<meta name=\"description\" content=\"\u3053\u306e\u30c1\u30e5\u30fc\u30c8\u30ea\u30a2\u30eb\u3067\u306f\u3001Python \u3067\u62e1\u5f35 Dickey-Fuller \u30c6\u30b9\u30c8\u3092\u5b9f\u884c\u3059\u308b\u65b9\u6cd5\u3092\u3001\u30b9\u30c6\u30c3\u30d7\u30d0\u30a4\u30b9\u30c6\u30c3\u30d7\u306e\u4f8b\u3092\u542b\u3081\u3066\u8aac\u660e\u3057\u307e\u3059\u3002\" \/>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, 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