Test of Stationarity and Localized Autocovariance

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Documentation for package ‘locits’ version 1.7.7

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locits-package New test of second-order stationarity and confidence intervals for localized autocovariance.
AutoBestBW Choose a good bandwidth for running mean smoothing of a EWS spectral estimator.
covI Compute the covariance between two wavelet periodogram ordinates at the same scale, but different time locations.
covIwrap A wrapper for the covI function.
Cvarip2 Computes variance of Haar wavelet coefficients of wavelet periodogram using C code.
EstBetaCov Compute estimate of wavelet periodogram and the estimate's covariance matrix.
ewspec3 Compute evolutionary wavelet spectrum of a time series.
ewspecHaarNonPer Compute evolutionary wavelet spectrum (EWS) estimate based on the Haar wavelet transform.
getridofendNA Replaces all NAs in vector by 0
HwdS Compute the non-decimated Haar wavelet transform without using periodic boundary conditions.
hwt Compute a Haar wavelet transform for data of arbitrary n length
hwtos Haar wavelet test for (second-order) stationarity for arbitrary length time series.
hwtos2 Test of second-order stationarity using wavelets.
idlastzero Return the index of the last zero in a vector
lacf Compute localized autocovariance.
littlevar Subsidiary helper function for hwtos2
locits New test of second-order stationarity and confidence intervals for localized autocovariance.
mkcoef Compute discrete wavelets.
plot.hwtANYN Plots the transform contained in an 'hwtANYN' object.
plot.lacf Plot localized autocovariance (lacf) object.
plot.lacfCI Plot confidence intervals for localized autocovariance for locally stationary time series.
plot.tos Produces a graphical representation of the results of a test of stationarity contained in a 'tos' object.
plot.tosANYN Produces a graphical representation of the results of a test of stationarity from a 'tosANYN' object.
print.hwtANYN Print out a 'hwtANYN' class object, eg from the 'link{hwt}' function.
print.lacf Print lacf class object
print.lacfCI Print basic information about a 'lacfCI' object.
print.tos Print out a 'tos' class object, eg from the 'link{hwtos2}' function.
print.tosANYN Print out a 'tosANYN' class object, eg from the 'link{hwtos}' function.
runmean Compute a running mean of a vector
Rvarlacf Compute confidence intervals for localized autocovariance for locally stationary time series.
StoreStatistics Interogates calculation store to see how well we are reusing previous calculations (debugging)
summary.hwtANYN Summarize the results of a Haar wavelet transform object computed from an arbitrary length vector.
summary.lacf Summarizes a lacf object
summary.lacfCI Produce a brief summary of the contents of a 'lacfCI' object
summary.tos Summarize the results of a test of stationarity contained i a 'tos' object.
summary.tosANYN Summarize the results of a test of stationarity contained in an 'tosANYN' class object.
tvar1sim Simulate a realization from a particular TVAR(1) model.
varip2 Direct computation of estimate of variance of v_ip, the Haar wavelet coefficients of the periodogram.
whichlevel Helper routine for 'mkcoef'
zeropad Intersperse zeroes in a vector.