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FlorianHeinrichs/CUSUM-test4.py

Created November 22, 2020 10:21
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CUSUM-test4.py
log_returns = np.log(ticker_df['Open']).diff()[1:]
n = log_returns.shape[0]
test_statistic = n**(1/2) * max(abs(calculate_cusum(log_returns)))
lrv_estimator = estimate_lrv(log_returns)
if test_statistic > quantile * lrv_estimator**(1/2):
print('The null hypothesis can be rejected.')
else:
print('The null hypothesis cannot be rejected.')
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