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costat - MaRDI portal

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costat (Q36221)

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Time Series Costationarity Determination
Language Label Description Also known as
English
costat
Time Series Costationarity Determination

    Statements

    instance of
    R package
    0 references
    software version identifier
    2.4
    publication date
    6 April 2018
    0 references
    1.1-1
    publication date
    31 August 2010
    0 references
    2.0
    publication date
    27 November 2012
    0 references
    2.1
    publication date
    27 November 2012
    0 references
    2.2
    publication date
    4 June 2013
    0 references
    2.3
    publication date
    14 October 2013
    0 references
    2.4.1
    publication date
    6 September 2023
    0 references
    maintained by
    Guy Nason
    0 references
    programmed in
    R
    0 references
    last update
    6 September 2023
    0 references
    description
    Contains functions that can determine whether a time seriesis second-order stationary or not (and hence evidence forlocally stationarity). Given two non-stationary series (i.e.locally stationary series) this package can then discovertime-varying linear combinations that are second-order stationary.Cardinali, A. and Nason, G.P. (2013)<doi:10.18637/jss.v055.i01>.
    0 references
    author
    Guy Nason
    0 references
    Alessandro Cardinali
    0 references

    Identifiers

    swMATH work ID
    24464
    0 references
    CRAN project
    costat
    0 references
     
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