lpacf (version 1.0.1)

Local Partial Autocorrelation Function Estimation for Locally Stationary Wavelet Processes

Description

Provides the method for computing the local partial autocorrelation function for locally stationary wavelet time series from Killick, Knight, Nason, Eckley (2020) .

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Version

Install

install.packages('lpacf')

Monthly Downloads

564

Version

1.0.1

License

GPL-2

Maintainer

Rebecca Killick

Last Published

May 12th, 2023

Functions in lpacf (1.0.1)

summary.lpacf

Print out summary information about a lpacf object.

lpacf-package

Compute localized partial autocorrelation for locally stationary wavelet time series.

AutoBestBW.Epan

Choose a good bandwidth for smoothing of a EWS spectral estimator using the Epanechnikov kernel.

lpacf.Epan

Calculates the lpacf (local partial autocorrelation function) using an Epanechnikov kernel spectral smoother.

print.lpacf

Prints a lpacf object.

lpacf

Calculates the lpacf (local partial autocorrelation function).

plot.lpacf

Plot localized partial autocorrelation information in an lpacf object.

lpacf.plot

Function to produce various plots of the lpacf.

tvar2sim

Simulate a realization from a particular TVAR(2) model.