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.

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

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

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