Computes a time-varying autocovariance and associated plots for plotting this. Also can search for costationary solutions between two time series.
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Guy Nason, <firstname.lastname@example.org>
Cardinali, A. and Nason, Guy P. (2013) Costationarity of Locally Stationary Time Series Using costat. Journal of Statistical Software, 55, Issue 1.
Cardinali, A. and Nason, G.P. (2010) Costationarity of locally stationary time series. J. Time Series Econometrics, 2, Issue 2, Article 1.
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# # Compute localized acv # x <- c(rnorm(128, sd=1), rnorm(128, sd=3)) xlacv <- lacv(x, lag.max=30) # # Plot the time-varying autocovariance at time t=100 # ## Not run: plot(xlacv, type="acf", the.time=100, plotcor=FALSE) # # Plot the time-varying autocovariance at time t=400 # ## Not run: plot(xlacv, type="acf", the.time=400, plotcor=FALSE) # # See examples for findstysols for other examples #
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