locits

Test of Stationarity and Localized Autocovariance

Last update: 5 September 2023

Software version identifier: 1.7.6, 1.4, 1.7.1, 1.7.3, 1.7.5, 1.7.7

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

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

Description

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>.

Cites work

A Test for Second-Order Stationarity and Approximate Confidence Intervals for Localized Autocovariances for Locally Stationary Time Series