TrendLSW

MaRDI QIDQ7381292CRANFDO

Authors Euan T. McGonigle, Rebecca Killick, Matthew Nunes

Last update 21 January 2026

Copyright license GNU General Public License

Software version identifier PACKAGES.rds, 1.0.1, 1.0.2, 1.0.4, 1.0.6

Description

Fitting models for, and simulation of, trend locally stationary wavelet (TLSW) time series models, which take account of time-varying trend and dependence structure in a univariate time series. The TLSW model, and its estimation, is described in McGonigle, Killick and Nunes (2022a) <doi:10.1111/jtsa.12643>, (2022b) <doi:10.1214/22-EJS2044>. Further information regarding the use of the package, along with detailed examples, can be found in McGonigle, Killick and Nunes (2025) <doi:10.18637/jss.v115.i10>. New users will likely want to start with the TLSW function.

Cites work

• Modelling time-varying first and second-order structure of time series via wavelets and differencing
• Trend locally stationary wavelet processes
• TrendLSW : Trend and Spectral Estimation of Nonstationary Time Series in R

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