LSTS: Locally Stationary Time Series

Has a set of functions that allows stationary analysis and locally stationary time series analysis.

Author
Ricardo Olea <raolea@uc.cl>, Wilfredo Palma <wilfredo@mat.puc.cl>, Pilar Rubio <parubio@uc.cl>
Date of publication
2015-10-01 23:54:34
Maintainer
Ricardo Olea <raolea@uc.cl>
License
GPL-2
Version
1.0

View on CRAN

Man pages

block.smooth.periodogram
Smooth Periodogram by blocks
Box.Ljung.Test
Ljung-Box Test Plot
fdensity
Spectral density
hessian
Hessian Matrix
LS.kalman
Kalman filter for locally stationary processes
LS.summary
Summary for Locally Stationary Time Series
LSTS-package
LSTS Package
LS.whittle
Whittle estimator to Locally Stationary Time Series
LS.whittle.loglik
Locally Stationary Whittle log-likelihood Function
LS.whittle.loglik.sd
Locally Stationary Whittle Log-likelihood sigma
LS.whittle.loglik.theta
Locally Stationary Whittle Log-likelihood theta
periodogram
Periodogram function
smooth.periodogram
Smoothing periodogram
ts.diag
Diagnostic Plots for Time Series fits

Files in this package

LSTS
LSTS/NAMESPACE
LSTS/R
LSTS/R/block.smooth.periodogram.R
LSTS/R/LS.whittle.loglik.R
LSTS/R/ts.diag.R
LSTS/R/LS.summary.R
LSTS/R/smooth.periodogram.R
LSTS/R/LS.whittle.R
LSTS/R/hessian.R
LSTS/R/fdensity.R
LSTS/R/periodogram.R
LSTS/R/LS.whittle.loglik.sd.R
LSTS/R/Box.Ljung.Test.R
LSTS/R/LS.kalman.R
LSTS/R/LS.whittle.loglik.theta.R
LSTS/MD5
LSTS/DESCRIPTION
LSTS/man
LSTS/man/LSTS-package.Rd
LSTS/man/ts.diag.Rd
LSTS/man/LS.whittle.loglik.sd.Rd
LSTS/man/LS.whittle.loglik.Rd
LSTS/man/LS.whittle.loglik.theta.Rd
LSTS/man/fdensity.Rd
LSTS/man/Box.Ljung.Test.Rd
LSTS/man/block.smooth.periodogram.Rd
LSTS/man/smooth.periodogram.Rd
LSTS/man/LS.whittle.Rd
LSTS/man/periodogram.Rd
LSTS/man/LS.kalman.Rd
LSTS/man/hessian.Rd
LSTS/man/LS.summary.Rd