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
5 September 2023
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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>.
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expanded from: GPL (≥ 2) (English)
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15 September 2023
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