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locits (Q35139)

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Test of Stationarity and Localized Autocovariance
Language Label Description Also known as
English
locits
Test of Stationarity and Localized Autocovariance

    Statements

    instance of
    R package
    0 references
    software version identifier
    1.7.6
    publication date
    7 November 2022
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    1.4
    publication date
    18 October 2013
    0 references
    1.7.1
    publication date
    30 March 2016
    0 references
    1.7.3
    publication date
    14 November 2016
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    1.7.5
    publication date
    9 May 2022
    0 references
    1.7.7
    publication date
    5 September 2023
    0 references
    maintained by
    Guy Nason
    0 references
    programmed in
    R
    0 references
    last update
    5 September 2023
    0 references
    description
    Provides test of second-order stationarity for timeseries (for dyadic and arbitrary-n length data). Provideslocalized autocovariance, with confidence intervals,for locally stationary (nonstationary) time series.See Nason, G P (2013) "A test for second-order stationarity andapproximate confidence intervals for localized autocovariancefor locally stationary time series." Journal of the Royal StatisticalSociety, Series B, 75, 879-904. <doi:10.1111/rssb.12015>.
    0 references
    author
    Guy Nason
    0 references
    depends on software
    wavethresh
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    igraph
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    R
    software version identifier
    ≥ 3.3
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    Identifiers

    swMATH work ID
    23366
    0 references
    CRAN project
    locits
    0 references
     
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