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costat: Time Series Costationarity Determination
Contains functions that can determine whether a time series is second-order stationary or not (and hence evidence for locally stationarity). Given two non-stationary series (i.e. locally stationary series) this package can then discover time-varying linear combinations that are second-order stationary. Cardinali, A. and Nason, G.P. (2013) <doi:10.18637/jss.v055.i01>.
Getting started
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Package details |
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| Author | Guy Nason [aut, cre], Alessandro Cardinali [aut, ctb] |
| Maintainer | Guy Nason <g.nason@imperial.ac.uk> |
| License | GPL (>= 2) |
| Version | 2.4.1 |
| Package repository | View on CRAN |
| Installation |
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