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costat

swMATH ID: 24464
Software Authors: Alessandro Cardinali; Guy Nason
Description: 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.
Homepage: https://cran.r-project.org/web/packages/costat/index.html
Source Code: https://github.com/cran/costat
Dependencies: R
Keywords: local stationarity; costationary time series; local autocovariance; costat; R; R package; Journal of Statistical Software
Related Software: R; fractal; xts; wavethresh; copula; locits; npcp; copula; LSTS; zoo; LS2W; mvLSW; WaveThresh4; CRAN; timeSeries; multicore; mvtnorm; latticeExtra; copulaData; zenplots
Cited in: 2 Publications

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1 Publication describing the Software Year

Cited in 1 Field

2 Statistics (62-XX)

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