Learn R Programming
⚠️There's a newer version (1.7.8) of this package.Take me there.

locits (version 1.4)

Test of stationarity and localized autocovariance

Description

Provides test of second-order stationarity for time series. Provides localized autocovariance, with confidence intervals, for locally stationary (nonstationary) time series.

Copy Link

Version

Install

install.packages('locits')

Monthly Downloads

300

Version

1.4

License

GPL-2

Maintainer

Guy Nason

Last Published

October 18th, 2013

Functions in locits (1.4)

Cvarip2

Computes variance of Haar wavelet coefficients of wavelet periodogram using C code.
summary.lacfCI

Produce a brief summary of the contents of a lacfCI object
AutoBestBW

Choose a good bandwidth for running mean smoothing of a EWS spectral estimator.
hwtos2

Test of second-order stationarity using wavelets.
print.lacf

Print lacf class object
HwdS

Compute the non-decimated Haar wavelet transform without using periodic boundary conditions.
runmean

Compute a running mean of a vector
getridofendNA

Replaces all NAs in vector by 0
littlevar

Subsidiary helper function for hwtos2
ewspec3

Compute evolutionary wavelet spectrum of a time series.
covIwrap

A wrapper for the covI function.
whichlevel

Helper routine for mkcoef
summary.lacf

Summarizes a lacf object
tvar1sim

Simulate a realization from a particular TVAR(1) model.
print.tos

Print out a tos class object, eg from the link{hwtos2} function.
idlastzero

Return the index of the last zero in a vector
summary.tos

Summarize the results of a test of stationarity
locits-package

New test of second-order stationarity and confidence intervals for localized autocovariance.
print.lacfCI

Print basic information about a lacfCI object.
lacf

Compute localized autocovariance.
ewspecHaarNonPer

Compute evolutionary wavelet spectrum (EWS) estimate based on the Haar wavelet transform.
plot.lacf

Plot localized autocovariance (lacf) object.
Rvarlacf

Compute confidence intervals for localized autocovariance for locally stationary time series.
plot.lacfCI

Plot confidence intervals for localized autocovariance for locally stationary time series.
StoreStatistics

Interogates calculation store to see how well we are reusing previous calculations (debugging)
covI

Compute the covariance between two wavelet periodogram ordinates at the same scale, but different time locations.
plot.tos

Produces a graphical representation of the results of a test of stationarity.
varip2

Direct computation of estimate of variance of v_ip, the Haar wavelet coefficients of the periodogram.
mkcoef

Compute discrete wavelets.