costat

swMATH24464CRANcostatMaRDI QIDQ36221

Time Series Costationarity Determination

Alessandro Cardinali, Guy Nason

Last update: 6 September 2023

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 2.4, 1.1-1, 2.0, 2.1, 2.2, 2.3, 2.4.1

Source code repository: https://github.com/cran/costat

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>.

Cites work

• Costationarity of Locally Stationary Time Series Usingcostat

Related Items (2)

Elements of Copula Modeling with R ⋮ Combining Cumulative Sum Change‐Point Detection Tests for Assessing the Stationarity of Univariate Time Series

This page was built for software: costat