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costat (version 2.4.1)

Time Series Costationarity Determination

Description

Contains functions that can determine whether a time series is second-order stationary or not (and hence evidence for locally stationarity). Given two non-stationary series (i.e. locally stationary series) this package can then discover time-varying linear combinations that are second-order stationary. Cardinali, A. and Nason, G.P. (2013) .

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Version

Install

install.packages('costat')

Monthly Downloads

296

Version

2.4.1

License

GPL (>= 2)

Maintainer

Guy Nason

Last Published

September 6th, 2023

Functions in costat (2.4.1)

plot.csBiFunction

Plot a csBiFunction object
plot.csFSS

Plot a csFSS object.
lacv

Computes localized (wavelet) autocovariance function
findstysols

Given two time series find some time-varying linear combinations that are stationary.
summary.lacv

Summarizes a lacv object
sret

Particular section of SP500 log-returns series.
plot.csFSSgr

Produce plots from a csFSSgr object.
plot.lacv

Plot localized autocovariance (lacv) object.
summary.csBiFunction

Summarize a csBiFunction object.
summary.csFSSgr

Summarize a csFSSgr object.
summary.csFSS

Summarize a csFSS object.
getpvals

Form a particular linear combination of two time series and assess the combination's stationarity p-value
plotBS

Compute p-value for parametric Monte Carlo test and optionally plot test statistic values
print.csBiFunction

Print a csBiFunction object.
fret

Particular section of FTSE log-return series.
print.lacv

Print lacv class object
print.csFSS

Print acsFSS object.
print.csFSSgr

Print csFSSgr object.
prodcomb

Combine two time series using a time-varying linear combination.
localvar

Compute the time-localized (unconditional) variance for a time series
COEFbothscale

Produces plots from output of findstysol that attempt to group different solutions.
EWSsmoothRM

Perform running mean smoothing of an EWS object
BootTOS

Perform bootstrap stationarity test for time series
AntiAR

Undo autoreflection action for an EWS object (wd stationary)
LCTSres

Plots solutions that are identified by findstysols
costat-package

Computes localized autocovariance and searches for costationary solutions to bivariate time series.
SP500FTSElr

Log-returns time series of the SP500 and FTSE100 indices
coeftofn

Convert wavelet coefficients for two time-varying functions into two functions with respect to time.
LCTS

Computes a Linear Combination Test Statistics
TOSts

A test statistic for stationarity
mergexy

Concatenate a set of solution results into one set
plot.BootTOS

Plots results of a Bootstrap Test of Stationarity
extractCS

Extractor function for csFSS object.