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. See Nason, G P (2013) "A test for second-order stationarity and approximate confidence intervals for localized autocovariance for locally stationary time series." Journal of the Royal Statistical Society, Series B, 75, 879-904. <doi:10.1111/rssb.12015>.

Package details

AuthorGuy Nason [aut, cre]
MaintainerGuy Nason <g.nason@imperial.ac.uk>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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locits documentation built on Nov. 10, 2022, 5:10 p.m.