costat (Q36221)
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Time Series Costationarity Determination
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | costat |
Time Series Costationarity Determination |
Statements
6 September 2023
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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>.
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expanded from: GPL (≥ 2) (English)
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Identifiers
16 September 2023
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