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.

Package details

AuthorGuy Nason [aut, cre], Alessandro Cardinali [aut, ctb]
MaintainerGuy Nason <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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costat documentation built on May 2, 2019, 5:09 a.m.