Computes localized autocovariance and searches for costationary solutions to bivariate time series.

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Description

Computes a time-varying autocovariance and associated plots for plotting this. Also can search for costationary solutions between two time series.

Details

Package: costat
Type: Package
Version: 1.0
Date: 2012-10-24
License: What license is it under?

Author(s)

Guy Nason, <g.p.nason@bristol.ac.uk>

References

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.

See Also

findstysols, lacv

Examples

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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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