Time Series Costationarity Determination


[Up] [Top]

Documentation for package ‘costat’ version 2.4

Help Pages

costat-package Computes localized autocovariance and searches for costationary solutions to bivariate time series.
AntiAR Undo autoreflection action for an EWS object (wd stationary)
BootTOS Perform bootstrap stationarity test for time series
COEFbothscale Produces plots from output of findstysol that attempt to group different solutions.
coeftofn Convert wavelet coefficients for two time-varying functions into two functions with respect to time.
costat Computes localized autocovariance and searches for costationary solutions to bivariate time series.
EWSsmoothRM Perform running mean smoothing of an EWS object
extractCS Extractor function for 'csFSS' object.
findstysols Given two time series find some time-varying linear combinations that are stationary.
fret Particular section of FTSE log-return series.
getpvals Form a particular linear combination of two time series and assess the combination's stationarity p-value
lacv Computes localized (wavelet) autocovariance function
LCTS Computes a Linear Combination Test Statistics
LCTSres Plots solutions that are identified by findstysols
localvar Compute the time-localized (unconditional) variance for a time series
mergexy Concatenate a set of solution results into one set
plot.BootTOS Plots results of a Bootstrap Test of Stationarity
plot.csBiFunction Plot a 'csBiFunction' object
plot.csFSS Plot a 'csFSS' object.
plot.csFSSgr Produce plots from a 'csFSSgr' object.
plot.lacv Plot localized autocovariance (lacv) object.
plotBS Compute p-value for parametric Monte Carlo test and optionally plot test statistic values
print.csBiFunction Print a 'csBiFunction' object.
print.csFSS Print a'csFSS' object.
print.csFSSgr Print 'csFSSgr' object.
print.lacv Print lacv class object
prodcomb Combine two time series using a time-varying linear combination.
SP500FTSElr Log-returns time series of the SP500 and FTSE100 indices
sret Particular section of SP500 log-returns series.
summary.csBiFunction Summarize a 'csBiFunction' object.
summary.csFSS Summarize a 'csFSS' object.
summary.csFSSgr Summarize a 'csFSSgr' object.
summary.lacv Summarizes a lacv object
TOSts A test statistic for stationarity