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.

Package details

AuthorGuy Nason [aut, cre]
MaintainerGuy Nason <g.p.nason@bristol.ac.uk>
URL http://www.stats.bris.ac.uk/~guy
Package repositoryView on CRAN
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locits documentation built on May 1, 2019, 8:33 p.m.