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locits (version 1.7.6)

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. 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. .

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Version

Install

install.packages('locits')

Monthly Downloads

296

Version

1.7.6

License

GPL (>= 2)

Maintainer

Guy Nason

Last Published

November 7th, 2022

Functions in locits (1.7.6)

plot.lacf

Plot localized autocovariance (lacf) object.
getridofendNA

Replaces all NAs in vector by 0
hwt

Compute a Haar wavelet transform for data of arbitrary n length
Rvarlacf

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

A wrapper for the covI function.
covI

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

Interogates calculation store to see how well we are reusing previous calculations (debugging)
plot.lacfCI

Plot confidence intervals for localized autocovariance for locally stationary time series.
summary.tosANYN

Summarize the results of a test of stationarity contained in an tosANYN 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.
hwtos

Haar wavelet test for (second-order) stationarity for arbitrary length time series.
hwtos2

Test of second-order stationarity using wavelets.
runmean

Compute a running mean of a vector
littlevar

Subsidiary helper function for hwtos2
ewspec3

Compute evolutionary wavelet spectrum of a time series.
ewspecHaarNonPer

Compute evolutionary wavelet spectrum (EWS) estimate based on the Haar wavelet transform.
locits-package

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

Print basic information about a lacfCI object.
zeropad

Intersperse zeroes in a vector.
print.tos

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

Produce a brief summary of the contents of a lacfCI object
Cvarip2

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

Choose a good bandwidth for running mean smoothing of a EWS spectral estimator.
varip2

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

Return the index of the last zero in a vector
whichlevel

Helper routine for mkcoef
EstBetaCov

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

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

Compute discrete wavelets.
HwdS

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

Compute localized autocovariance.
plot.hwtANYN

Plots the transform contained in an hwtANYN object.
print.hwtANYN

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

Print lacf class object
plot.tosANYN

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

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

Summarizes a lacf object
summary.hwtANYN

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