BootTOS {costat}R Documentation

Perform bootstrap stationarity test for time series


Given a time series this function runs a bootstrap hypothesis test to see whether it is stationary. The null hypothesis is that the series is stationary, the alternative is that it is not - and hence possesses a time-varying evolutionary wavelet spectrum if deemed non-stationary.


BootTOS(x, Bsims = 100, WPsmooth = TRUE, verbose = FALSE, plot.avspec = FALSE,
        plot.avsim = FALSE, theTS = TOSts, AutoReflect=TRUE, lapplyfn=lapply)



Time series to test. Must have a power of two length


Number of bootstrap simulations to carry out


Whether or not to carry out wavelet periodogram smoothing


If TRUE informative messages are printed


If TRUE then the ‘average’ evolutionary wavelet spectrum (EWS) is plotted. This is called \bar{S}_j in the Cardinali and Nason paper.


If TRUE for each bootstrap simulation plot the time series of the simulated time series from the average EWS (the one that might be plotted by plot.avspec=TRUE


Specifies the particular test statistic to be used


If TRUE then the series is reflected and augmented by its end point on the RH-side, and the spectral quantities are evaluated on that. Everything returned though applies only to the original series, the reflection is merely to ensure that the periodic wavelet algorithms can be used on non-periodic data


List processing function. Parallel processing of the bootstrap simulations can be achieved by using the multicore package and the mclapply function. Sequential processing can be achieved using the standard lapply function. So, if you can't run multicore then you should use lapply, otherwise try and use mclapply for faster execution times.


The details of our testing methodology are set out in the Cardinali and Nason paper referenced below.

Essentially, the testing process works as follows. First, one has to define a test statistic. Given a time series this has return a statistic that measures ‘degree of nonstationarity’. For example, estimating the EWS, and then computing the sum of the sample variances of each scale is such as measure (and known as the T_{vS} statistic). This statistic is zero for a constant spectrum and positive for non-constant spectrum (and generally larger for larger variations of the spectrum).

Once a test statistic T is selected then a parametric Monte Carlo test can be used. First, T is computed on the series itself. Then, for statistical assessment of the ‘significance’ of the test statistic the following procedure is carried out. Assuming, for a moment that the time series is stationary, we estimate its evolutionary wavelet spectrum (EWS) and then average this over time (\bar{S}_j). Then we use the function LSWsim to simulate a time series whose EWS is the constant, stationary, spectral estimate. Then we compute our test statistic, T_b, on this simulated series.

Then we calculate T_b for Bsim-1 simulations. The function then returns BSim numbers. The first is the test statistic computed on the actual data. The remaining ones are the test statistic computed on the simulated stationary series.

The idea being that if the time series is really stationary then the first value will be comparable to the ones obtained by simulation. If the time series is not stationary then the first test statistic will be much larger than the ones obtained by simulation (since the actual data T will have been computed on a time series with varying spectrum, whereas the simulated ones are all computed on constant spectra, and their variation is only due to sampling variation).

The test statistic supplied to this function (as argument theTS) should take an EWS object as an argument. For example, the WaveThresh function ewspec produces a suitable spectral estimate in its $S argument (both objects are actually examples of a non-decimated wavelet transform object, class wd).

The function plotBS can be used the present the results of this function in an interpretable form and calculate the p-value of the test, although you should use the generic plot function to call this.


A vector of length Bsim. The first entry is the value of the test statistic computed on the data. The remaining entries are boostrap values computed on the ‘averaged’ EWS estimate with constant spectrum.


Guy Nason


Cardinali, A. and Nason, Guy P. (2013) Costationarity of Locally Stationary Time Series Using costat. Journal of Statistical Software, 55, Issue 1.

Cardinali, A. and Nason, G.P. (2010) Costationarity of locally stationary time series. J. Time Series Econometrics, 2, Issue 2, Article 1.

See Also

TOSts, plotBS


# Calculate test of stationarity on example we know to be stationary,
# a series of iid values
plot(BootTOS(rnorm(64), Bsims=10), plot=FALSE)
# The following text is what gets printed
#Realized Bootstrap is  0.04543729 
#p-value is  0.93 
#Series was stationary
#[1] 0.93
# The realized bootstrap value is the value of the test statistic on the
# actual data (0.0454 here).
# The p-value is also printed (this is just the number of simulated series
# test statistic values less than the actual test statistic) and returned.
# The text "Series is stationary" just means that the empirical p-value
# was greater than the nominal test size (alpha=0.05, by default).
# Let's now try another example with the series sret: note that if you
# have a slow single core machine, this can take a long time, so we don't
# run it in the examples. However, on a fastish machine it is quick, on
# a fast multicore machine it is really quick!
## Not run: plot(BootTOS(sret))
#Realized Bootstrap is  2.662611e-09 
#p-value is  0 
#Series was NOT stationary
#[1] 0
# In contrast to the previous example, the p-value is 0, hence indicative
# of non-stationarity.

[Package costat version 2.4 Index]