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Statistical hypothesis tests based on Matrix data.
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package se.alipsa.groovy.stats.timeseries
/**
* the Johansen test, named after Søren Johansen, is a procedure for testing cointegration of several,
* say k, I(1) time series.
* This test permits more than one cointegrating relationship so is more generally applicable than the
* Engle–Granger test which is based on the Dickey–Fuller (or the augmented) test for unit roots in the
* residuals from a single (estimated) cointegrating relationship.
*
* There are two types of Johansen test, either with trace or with eigenvalue,
* and the inferences might be a little bit different.
*/
class Johansen {
}