lpacf-package {lpacf}

Compute localized partial autocorrelation for locally stationary wavelet time series.

Description

This package computes a localized partial autocorrelation of a time series assuming a locally stationary wavelet model.

Details

Package:	lpacf
Type:	Package
Version:	1.0.1
Date:	2023-05-12
License:	GPL-2

The lpacf function computes the localized partial autocorrelation of a locally stationary time series. The resultant object can be printed using print.lpacf or plotted by plot.lpacf.

Author(s)

Rebecca Killick, Marina Knight, Guy Nason and Matt Nunes

Maintainer: Rebecca Killick <[e-mail]>

References

Killick, R., Knight, M. I., Nason, G.P. and Eckley, I. A. (2020) The local partial autocorrelation function and some applications. Electron. J. Statist. 14 (2), 3268-3314. DOI: 10.1214/20-EJS1748.

See Also

lpacf

Examples

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