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.

Install the latest version of this package by entering the following in R:
AuthorGuy Nason [aut, cre]
Date of publication2016-11-14 20:54:43
MaintainerGuy Nason <g.p.nason@bristol.ac.uk>

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.


AutoBestBW Man page
covI Man page
covIwrap Man page
Cvarip2 Man page
EstBetaCov Man page
ewspec3 Man page
ewspecHaarNonPer Man page
getridofendNA Man page
HwdS Man page
hwt Man page
hwtos Man page
hwtos2 Man page
idlastzero Man page
lacf Man page
littlevar Man page
locits Man page
locits-package Man page
mkcoef Man page
plot.hwtANYN Man page
plot.lacf Man page
plot.lacfCI Man page
plot.tos Man page
plot.tosANYN Man page
print.hwtANYN Man page
print.lacf Man page
print.lacfCI Man page
print.tos Man page
print.tosANYN Man page
runmean Man page
Rvarlacf Man page
StoreStatistics Man page
summary.hwtANYN Man page
summary.lacf Man page
summary.lacfCI Man page
summary.tos Man page
summary.tosANYN Man page
tvar1sim Man page
varip2 Man page
whichlevel Man page
zeropad Man page

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

Please suggest features or report bugs with the GitHub issue tracker.

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