FunctionADF

Library "FunctionADF"
Augmented Dickey-Fuller test (ADF), The ADF test is a statistical method used to assess whether a time series is stationary – meaning its statistical properties (like mean and variance) do not change over time. A time series with a unit root is considered non-stationary and often exhibits non-mean-reverting behavior, which is a key concept in technical analysis.

Reference:
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- rtmath.net/assets/docs/finmath/html/93a7b7b9-e3c3-4f19-8a57-49c3938d607d.htm
- en.wikipedia.org/wiki/Augmented_Dickey–Fuller_test

adftest(data, n_lag, conf)
  : Augmented Dickey-Fuller test for stationarity.
  Parameters:
    data (array<float>): Data series.
    n_lag (int): Maximum lag.
    conf (string): Confidence Probability level used to test for critical value, (`90%`, `95%`, `99%`).
  Returns: `adf` The test statistic. \
`crit` Critical value for the test statistic at the 10 % levels. \
`nobs` Number of observations used for the ADF regression and calculation of the critical values.