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

locits (version 1.7.1)

Test of Stationarity and Localized Autocovariance

Description

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.

Copy Link

Version

Install

install.packages('locits')

Monthly Downloads

300

Version

1.7.1

License

GPL-2

Maintainer

Guy Nason

Last Published

March 30th, 2016

Functions in locits (1.7.1)

EstBetaCov

Compute estimate of wavelet periodogram and the estimate's covariance matrix.
StoreStatistics

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

Helper routine for mkcoef
runmean

Compute a running mean of a vector
locits-package

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

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

Produce a brief summary of the contents of a lacfCI object
plot.tosANYN

Produces a graphical representation of the results of a test of stationarity from a tosANYN object.
varip2

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

Print out a hwtANYN class object, eg from the link{hwt} function.
lacf

Compute localized autocovariance.
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
ewspec3

Compute evolutionary wavelet spectrum of a time series.
HwdS

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

Summarize the results of a Haar wavelet transform object computed from an arbitrary length vector.
print.lacf

Print lacf class object
tvar1sim

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

Print out a tosANYN class object, eg from the link{hwtos} function.
zeropad

Intersperse zeroes in a vector.
plot.lacf

Plot localized autocovariance (lacf) object.
mkcoef

Compute discrete wavelets.
AutoBestBW

Choose a good bandwidth for running mean smoothing of a EWS spectral estimator.
Cvarip2

Computes variance of Haar wavelet coefficients of wavelet periodogram using C code.
getridofendNA

Replaces all NAs in vector by 0
ewspecHaarNonPer

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

Compute a Haar wavelet transform for data of arbitrary n length
summary.tos

Summarize the results of a test of stationarity contained i a tos object.
Rvarlacf

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

Plots the transform contained in an hwtANYN object.
summary.lacf

Summarizes a lacf object
plot.tos

Produces a graphical representation of the results of a test of stationarity contained in a tos object.
hwtos2

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

Print basic information about a lacfCI object.
summary.tosANYN

Summarize the results of a test of stationarity contained in an tosANYN class object.
littlevar

Subsidiary helper function for hwtos2
hwtos

Haar wavelet test for (second-order) stationarity for arbitrary length time series.
plot.lacfCI

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

A wrapper for the covI function.