Time Series Costationarity Determination

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.


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install.packages("costat")

2.4 by Guy Nason, 4 years ago


Browse source code at https://github.com/cran/costat


Authors: Guy Nason [aut, cre] , Alessandro Cardinali [aut, ctb]


Documentation:   PDF Manual  


Task views: Time Series Analysis


GPL (>= 2) license


Depends on wavethresh

Suggests parallel


See at CRAN