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)
R package costat: Time Series Costationarity Determination (version 2.4.1) / Alessandro Cardinali. - ELETTRONICO. - (2023).
R package costat: Time Series Costationarity Determination (version 2.4.1)
Alessandro CardinaliMethodology
2023
Abstract
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)
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