Test of Stationarity and Localized Autocovariance

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.


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Reference manual

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install.packages("locits")

1.7.3 by Guy Nason, 4 years ago


http://www.stats.bris.ac.uk/~guy


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


Authors: Guy Nason [aut, cre]


Documentation:   PDF Manual  


Task views: Time Series Analysis


GPL-2 license


Depends on wavethresh, igraph


See at CRAN