locits: Test of Stationarity and Localized Autocovariance

Provides test of second-order stationarity for time series (for dyadic and arbitrary-n length data). Provides localized autocovariance, with confidence intervals, for locally stationary (nonstationary) time series.

AuthorGuy Nason [aut, cre]
Date of publication2016-11-14 20:54:43
MaintainerGuy Nason <g.p.nason@bristol.ac.uk>
LicenseGPL-2
Version1.7.3
http://www.stats.bris.ac.uk/~guy

View on CRAN

Man pages

AutoBestBW: Choose a good bandwidth for running mean smoothing of a EWS...

covI: Compute the covariance between two wavelet periodogram...

covIwrap: A wrapper for the covI function.

Cvarip2: Computes variance of Haar wavelet coefficients of wavelet...

EstBetaCov: Compute estimate of wavelet periodogram and the estimate's...

ewspec3: Compute evolutionary wavelet spectrum of a time series.

ewspecHaarNonPer: Compute evolutionary wavelet spectrum (EWS) estimate based on...

getridofendNA: Replaces all NAs in vector by 0

HwdS: Compute the non-decimated Haar wavelet transform without...

hwt: Compute a Haar wavelet transform for data of arbitrary n...

hwtos: Haar wavelet test for (second-order) stationarity for...

hwtos2: Test of second-order stationarity using wavelets.

idlastzero: Return the index of the last zero in a vector

lacf: Compute localized autocovariance.

littlevar: Subsidiary helper function for hwtos2

locits-package: New test of second-order stationarity and confidence...

mkcoef: Compute discrete wavelets.

plot.hwtANYN: Plots the transform contained in an 'hwtANYN' object.

plot.lacf: Plot localized autocovariance (lacf) object.

plot.lacfCI: Plot confidence intervals for localized autocovariance for...

plot.tos: Produces a graphical representation of the results of a test...

plot.tosANYN: Produces a graphical representation of the results of a test...

print.hwtANYN: Print out a 'hwtANYN' class object, eg from the 'link{hwt}'...

print.lacf: Print lacf class object

print.lacfCI: Print basic information about a 'lacfCI' object.

print.tos: Print out a 'tos' class object, eg from the 'link{hwtos2}'...

print.tosANYN: Print out a 'tosANYN' class object, eg from the 'link{hwtos}'...

runmean: Compute a running mean of a vector

Rvarlacf: Compute confidence intervals for localized autocovariance for...

StoreStatistics: Interogates calculation store to see how well we are reusing...

summary.hwtANYN: Summarize the results of a Haar wavelet transform object...

summary.lacf: Summarizes a lacf object

summary.lacfCI: Produce a brief summary of the contents of a 'lacfCI' object

summary.tos: Summarize the results of a test of stationarity contained i a...

summary.tosANYN: Summarize the results of a test of stationarity contained in...

tvar1sim: Simulate a realization from a particular TVAR(1) model.

varip2: Direct computation of estimate of variance of v_ip, the Haar...

whichlevel: Helper routine for 'mkcoef'

zeropad: Intersperse zeroes in a vector.

Files in this package

locits
locits/inst
locits/inst/CITATION
locits/inst/CHANGES
locits/src
locits/src/CPkPlj.c
locits/src/CcovI.c
locits/NAMESPACE
locits/R
locits/R/mkcoef.R locits/R/hwtos.R locits/R/plot.lacfCI.R locits/R/ewspecHaarNonPer.R locits/R/print.tos.R locits/R/tvar1sim.R locits/R/hwtos2.R locits/R/covI.R locits/R/covIwrap.R locits/R/plot.hwtANYN.R locits/R/summary.hwtANYN.R locits/R/getridofendNA.R locits/R/AutoBestBW.R locits/R/whichlevel.R locits/R/plot.lacf.R locits/R/varip2.R locits/R/ewspec3.R locits/R/print.lacfCI.R locits/R/Cvarip2.R locits/R/summary.tos.R locits/R/EstBetaCov.R locits/R/hwt.R locits/R/summary.tosANYN.R locits/R/lacf.R locits/R/runmean.R locits/R/plot.tosANYN.R locits/R/Rvarlacf.R locits/R/print.lacf.R locits/R/HwdS.R locits/R/StoreStatistics.R locits/R/summary.lacfCI.R locits/R/summary.lacf.R locits/R/zeropad.R locits/R/idlastzero.R locits/R/plot.tos.R locits/R/littlevar.R locits/R/print.hwtANYN.R locits/R/print.tosANYN.R
locits/MD5
locits/DESCRIPTION
locits/man
locits/man/summary.hwtANYN.Rd locits/man/print.lacfCI.Rd locits/man/hwtos2.Rd locits/man/plot.tos.Rd locits/man/plot.hwtANYN.Rd locits/man/AutoBestBW.Rd locits/man/summary.lacfCI.Rd locits/man/whichlevel.Rd locits/man/idlastzero.Rd locits/man/ewspec3.Rd locits/man/plot.tosANYN.Rd locits/man/print.tosANYN.Rd locits/man/locits-package.Rd locits/man/mkcoef.Rd locits/man/runmean.Rd locits/man/tvar1sim.Rd locits/man/plot.lacfCI.Rd locits/man/ewspecHaarNonPer.Rd locits/man/Rvarlacf.Rd locits/man/plot.lacf.Rd locits/man/lacf.Rd locits/man/print.hwtANYN.Rd locits/man/getridofendNA.Rd locits/man/covI.Rd locits/man/hwtos.Rd locits/man/covIwrap.Rd locits/man/StoreStatistics.Rd locits/man/zeropad.Rd locits/man/varip2.Rd locits/man/hwt.Rd locits/man/print.lacf.Rd locits/man/HwdS.Rd locits/man/EstBetaCov.Rd locits/man/print.tos.Rd locits/man/Cvarip2.Rd locits/man/summary.tos.Rd locits/man/summary.lacf.Rd locits/man/littlevar.Rd locits/man/summary.tosANYN.Rd

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

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