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.

Author
Guy Nason, Alessandro Cardinali
Date of publication
2013-10-14 14:19:44
Maintainer
Guy Nason <g.p.nason@bristol.ac.uk>
License
GPL (>= 2)
Version
2.3

View on CRAN

Man pages

AntiAR
Undo autoreflection action for an EWS object (wd stationary)
BootTOS
Perform bootstrap stationarity test for time series
COEFbothscale
Produces plots from output of findstysol that attempt to...
coeftofn
Convert wavelet coefficients for two time-varying functions...
costat-package
Computes localized autocovariance and searches for...
EWSsmoothRM
Perform running mean smoothing of an EWS object
extractCS
Extractor function for 'csFSS' object.
findstysols
Given two time series find some time-varying linear...
fret
Particular section of FTSE log-return series.
getpvals
Form a particular linear combination of two time series and...
lacv
Computes localized (wavelet) autocovariance function
LCTS
Computes a Linear Combination Test Statistics
LCTSres
Plots solutions that are identified by findstysols
localvar
Compute the time-localized (unconditional) variance for a...
mergexy
Concatenate a set of solution results into one set
plot.BootTOS
Plots results of a Bootstrap Test of Stationarity
plotBS
Compute p-value for parametric Monte Carlo test and...
plot.csBiFunction
Plot a 'csBiFunction' object
plot.csFSS
Plot a 'csFSS' object.
plot.csFSSgr
Produce plots from a 'csFSSgr' object.
plot.lacv
Plot localized autocovariance (lacv) object.
print.csBiFunction
Print a 'csBiFunction' object.
print.csFSS
Print a'csFSS' object.
print.csFSSgr
Print 'csFSSgr' object.
print.lacv
Print lacv class object
prodcomb
Combine two time series using a time-varying linear...
SP500FTSElr
Log-returns time series of the SP500 and FTSE100 indices
sret
Particular section of SP500 log-returns series.
summary.csBiFunction
Summarize a 'csBiFunction' object.
summary.csFSS
Summarize a 'csFSS' object.
summary.csFSSgr
Summarize a 'csFSSgr' object.
summary.lacv
Summarizes a lacv object
TOSts
A test statistic for stationarity

Files in this package

costat
costat/inst
costat/inst/CITATION
costat/inst/CHANGES
costat/NAMESPACE
costat/data
costat/data/fret.rda
costat/data/sret.rda
costat/data/SP500FTSElr.rda
costat/R
costat/R/plotBS.R
costat/R/plot.csFSSgr.R
costat/R/EWSsmoothRM.R
costat/R/plot.BootTOS.R
costat/R/findstysols.R
costat/R/LCTSres.R
costat/R/AntiAR.R
costat/R/extractCS.R
costat/R/localvar.R
costat/R/plot.csBiFunction.R
costat/R/mergexy.R
costat/R/plot.lacv.R
costat/R/prodcomb.R
costat/R/LCTS.R
costat/R/summary.lacv.R
costat/R/print.csFSS.R
costat/R/lacv.R
costat/R/coeftofn.R
costat/R/summary.csBiFunction.R
costat/R/summary.csFSSgr.R
costat/R/print.csBiFunction.R
costat/R/summary.csFSS.R
costat/R/TOSts.R
costat/R/print.csFSSgr.R
costat/R/COEFbothscale.R
costat/R/plot.csFSS.R
costat/R/print.lacv.R
costat/R/BootTOS.R
costat/R/getpvals.R
costat/MD5
costat/DESCRIPTION
costat/man
costat/man/extractCS.Rd
costat/man/print.lacv.Rd
costat/man/getpvals.Rd
costat/man/summary.lacv.Rd
costat/man/BootTOS.Rd
costat/man/LCTSres.Rd
costat/man/plot.lacv.Rd
costat/man/AntiAR.Rd
costat/man/plotBS.Rd
costat/man/summary.csFSS.Rd
costat/man/prodcomb.Rd
costat/man/costat-package.Rd
costat/man/sret.Rd
costat/man/plot.csFSSgr.Rd
costat/man/plot.BootTOS.Rd
costat/man/TOSts.Rd
costat/man/localvar.Rd
costat/man/findstysols.Rd
costat/man/print.csBiFunction.Rd
costat/man/fret.Rd
costat/man/LCTS.Rd
costat/man/plot.csFSS.Rd
costat/man/mergexy.Rd
costat/man/print.csFSS.Rd
costat/man/lacv.Rd
costat/man/coeftofn.Rd
costat/man/print.csFSSgr.Rd
costat/man/EWSsmoothRM.Rd
costat/man/plot.csBiFunction.Rd
costat/man/SP500FTSElr.Rd
costat/man/COEFbothscale.Rd
costat/man/summary.csFSSgr.Rd
costat/man/summary.csBiFunction.Rd