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.

Install the latest version of this package by entering the following in R:
install.packages("costat")
AuthorGuy Nason, Alessandro Cardinali
Date of publication2013-10-14 14:19:44
MaintainerGuy Nason <g.p.nason@bristol.ac.uk>
LicenseGPL (>= 2)
Version2.3

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

Functions

AntiAR Man page
BootTOS Man page
COEFbothscale Man page
coeftofn Man page
costat Man page
costat-package Man page
EWSsmoothRM Man page
extractCS Man page
findstysols Man page
fret Man page
getpvals Man page
lacv Man page
LCTS Man page
LCTSres Man page
localvar Man page
mergexy Man page
plot.BootTOS Man page
plotBS Man page
plot.csBiFunction Man page
plot.csFSS Man page
plot.csFSSgr Man page
plot.lacv Man page
print.csBiFunction Man page
print.csFSS Man page
print.csFSSgr Man page
print.lacv Man page
prodcomb Man page
SP500FTSElr Man page
sret Man page
summary.csBiFunction Man page
summary.csFSS Man page
summary.csFSSgr Man page
summary.lacv Man page
TOSts Man page

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.