AI engineering glossary · Time series recsys
What is Augmented Dickey-Fuller test?
Augmented Dickey-Fuller test (also called ADF test): A hypothesis test for whether a series has a unit root. The null hypothesis is that it does, so a small p-value (for example below 0.05) is evidence that the series is stationary. It includes lagged differences to handle autocorrelation.
Augmented Dickey-Fuller test: an example
An ADF p-value of 0.72 on daily sales suggests differencing is needed before modelling.
Related terms
More Time series recsys terms
- Autocorrelation
- Autocorrelation function
- Backtesting
- Bayesian personalised ranking
- Box-Jenkins method
- Calendar features
- Candidate generation
- Changepoint
Where you learn it
Augmented Dickey-Fuller test is part of the AI Engineering Program, which teaches it with notes, a hands-on lab and an exam. The first lesson is free.