R package costat: Time Series Costationarity Determination. Contains functions that can determine whether a time series is second-order stationary or not (and hence evidence for locally stationarity). Given two non-stationary series (i.e. locally stationary series) this package can then discover time-varying linear combinations that are second-order stationary.
Keywords for this software
References in zbMATH (referenced in 4 articles , 1 standard article )
Showing results 1 to 4 of 4.
- Bücher, Axel; Fermanian, Jean-David; Kojadinovic, Ivan: Combining cumulative sum change-point detection tests for assessing the stationarity of univariate time series (2019)
- Hofert, Marius; Kojadinovic, Ivan; Mächler, Martin; Yan, Jun: Elements of copula modeling with R (2018)
- Simon A. C. Taylor; Timothy Park; Idris A. Eckley: Multivariate Locally Stationary Wavelet Process Analysis with the mvLSW R Package (2018) arXiv
- Alessandro Cardinali; Guy Nason: Costationarity of Locally Stationary Time Series Using costat (2013) not zbMATH