costat
Time Series Costationarity Determination
v2.4.1
·
Sep 6, 2023
·
GPL (>= 2)
Description
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. Cardinali, A. and Nason, G.P. (2013) <doi:10.18637/jss.v055.i01>.
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