Compute SADF statistic
use openquant::structural_breaks::{get_sadf, SadfLags};
let y = vec![100.0, 100.2, 100.4, 100.1, 99.8, 100.0];
let sadf = get_sadf(&y, 3, SadfLags::Fixed(1))?;structural_breaks
Market Microstructure, Dependence and Regime Detection
Regime change and bubble diagnostics (Chow, CUSUM variants, SADF).
Why This Module Exists
Regime instability can invalidate model assumptions; break detection is a core risk control.
Key Public APIs
get_chow_type_statget_chu_stinchcombe_white_statisticsget_sadfSadfLags
Core Math
ADF Regression
\[\Delta y_t=\alpha+\beta y_{t-1}+\sum_{i=1}^{k}\phi_i\Delta y_{t-i}+\epsilon_t\]
SADF
\[SADF=\sup_{r_2\in[r_0,1]} ADF_0^{r_2}\]
Code Examples
Implementation Notes
- SADF can be computationally expensive on long windows.
- Use dedicated slow/nightly test paths for heavy scenarios.