locits

MaRDI QIDQ35139swMATHCRANFDO

Authors Guy Nason

Last update 5 September 2023

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

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

Official website https://cran.r-project.org/web/packages/locits/index.html

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

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

Cited in

(17)

• Elements of Copula Modeling with R
• The local partial autocorrelation function and some applications
• haarfisz
• npcp
• Combining cumulative sum change-point detection tests for assessing the stationarity of univariate time series
• fractal
• BootWPTOS
• costat
• nor1mix
• copulaData
• lcopula
• GNAR
• tvReg
• lpacf
• forecastLSW
• Long memory and changepoint models: a spectral classification procedure
• Modelling time-varying first and second-order structure of time series via wavelets and differencing

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