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locits (version 1.7.8)

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

385

Version

1.7.8

License

GPL (>= 2)

Maintainer

Guy Nason

Last Published

July 24th, 2025

Functions in locits (1.7.8)

idlastzero

Return the index of the last zero in a vector
mkcoef

Compute discrete wavelets.
hwtos2

Test of second-order stationarity using wavelets.
hwt

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

Subsidiary helper function for hwtos2
hwtos

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

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

Compute localized autocovariance.
getridofendNA

Replaces all NAs in vector by 0
plot.hwtANYN

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

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

Print basic information about a lacfCI object.
plot.tos

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

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

Print lacf class object
print.tos

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

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

Compute a running mean of a vector
print.hwtANYN

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

Summarizes a lacf object
zeropad

Intersperse zeroes in a vector.
plot.lacfCI

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

Helper routine for mkcoef
summary.tos

Summarize the results of a test of stationarity contained i a tos object.
varip2

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

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

Plot localized autocovariance (lacf) object.
tvar1sim

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

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

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

A wrapper for the covI function.
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.
ewspecHaarNonPer

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

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

Compute confidence intervals for localized autocovariance for locally stationary time series.
ewspec3

Compute evolutionary wavelet spectrum of a time series.