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locits (version 1.7.7)

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

325

Version

1.7.7

License

GPL (>= 2)

Maintainer

Last Published

September 5th, 2023

Functions in locits (1.7.7)

Plots the transform contained in an hwtANYN object.

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

Return the index of the last zero in a vector

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

Compute localized autocovariance.

Compute discrete wavelets.

Test of second-order stationarity using wavelets.

Subsidiary helper function for hwtos2

Replaces all NAs in vector by 0

Compute a Haar wavelet transform for data of arbitrary n length

Print basic information about a lacfCI object.

Plot localized autocovariance (lacf) object.

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

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

Compute a running mean of a vector

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

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

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

Print lacf class object

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

Produce a brief summary of the contents of a lacfCI object

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

Intersperse zeroes in a vector.

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

Helper routine for mkcoef

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

summary.hwtANYN

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

summary.tosANYN

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

Summarizes a lacf object

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

Compute evolutionary wavelet spectrum of a time series.

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

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

A wrapper for the covI function.

ewspecHaarNonPer

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

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

StoreStatistics

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

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

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