Package: locits 1.7.7

Guy Nason

locits: Test of Stationarity and Localized Autocovariance

Provides test of second-order stationarity for time series (for dyadic and arbitrary-n length data). Provides localized autocovariance, with confidence intervals, for locally stationary (nonstationary) time series. See Nason, G P (2013) "A test for second-order stationarity and approximate confidence intervals for localized autocovariance for locally stationary time series." Journal of the Royal Statistical Society, Series B, 75, 879-904. <doi:10.1111/rssb.12015>.

Authors:Guy Nason [aut, cre]

locits_1.7.7.tar.gz
locits_1.7.7.tar.gz(r-4.5-noble)locits_1.7.7.tar.gz(r-4.4-noble)
locits_1.7.7.tgz(r-4.4-emscripten)locits_1.7.7.tgz(r-4.3-emscripten)
locits.pdf |locits.html✨
locits/json (API)

# Install 'locits' in R:
install.packages('locits', repos = 'https://cloud.r-project.org')

On CRAN:

Conda:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

1.95 score 1 stars 3 packages 351 downloads 34 exports 13 dependencies

Last updated 2 years agofrom:943dcc3388. Checks:1 OK, 2 NOTE. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKMar 06 2025
R-4.5-linux-x86_64NOTEMar 06 2025
R-4.4-linux-x86_64NOTEMar 06 2025

Exports:AutoBestBWcovIcovIwrapCvarip2EstBetaCovewspec3ewspecHaarNonPergetridofendNAHwdShwthwtos2idlastzerolacflittlevarmkcoefplot.hwtANYNplot.lacfplot.lacfCIplot.tosprint.hwtANYNprint.lacfprint.lacfCIprint.tosrunmeanRvarlacfStoreStatisticssummary.hwtANYNsummary.lacfsummary.lacfCIsummary.tostvar1simvarip2whichlevelzeropad

Dependencies:clicpp11glueigraphlatticelifecyclemagrittrMASSMatrixpkgconfigrlangvctrswavethresh

Citation

To cite the 'locits' package in publications use:

Guy Nason (2023). locits: Tests of stationarity and localized autocovariance.R package version 1.7.7.

Nason, G.P. (2013) A test for second-order stationarity and approximate confidence intervals for localized autocovariances for locally stationary time series. Journal of the Royal Statistical Society, Series B 75:879--904

Corresponding BibTeX entries: 

  @Manual{,
    title = {locits: Tests of stationarity and localized
      autocovariance},
    author = {Guy Nason},
    year = {2023},
    note = {R package version 1.7.7},
  }

  @Article{,
    title = {A test for second-order stationarity and approximate
      confidence intervals for localized autocovariances for locally
      stationary time series},
    author = {{G. P. Nason}},
    journal = {Journal of the Royal Statistical Society, Series B},
    volume = {75},
    year = {2013},
    pages = {879--904},
    doi = {10.1111/rssb.12015},
  }

Readme and manuals

Help Manual

Help pageTopics
New test of second-order stationarity and confidence intervals for localized autocovariance.locits-package locits
Choose a good bandwidth for running mean smoothing of a EWS spectral estimator.AutoBestBW
Compute the covariance between two wavelet periodogram ordinates at the same scale, but different time locations.covI
A wrapper for the covI function.covIwrap
Computes variance of Haar wavelet coefficients of wavelet periodogram using C code.Cvarip2
Compute estimate of wavelet periodogram and the estimate's covariance matrix.EstBetaCov
Compute evolutionary wavelet spectrum of a time series.ewspec3
Compute evolutionary wavelet spectrum (EWS) estimate based on the Haar wavelet transform.ewspecHaarNonPer
Replaces all NAs in vector by 0getridofendNA
Compute the non-decimated Haar wavelet transform without using periodic boundary conditions.HwdS
Compute a Haar wavelet transform for data of arbitrary n lengthhwt
Haar wavelet test for (second-order) stationarity for arbitrary length time series.hwtos
Test of second-order stationarity using wavelets.hwtos2
Return the index of the last zero in a vectoridlastzero
Compute localized autocovariance.lacf
Subsidiary helper function for hwtos2littlevar
Compute discrete wavelets.mkcoef
Plots the transform contained in an 'hwtANYN' object.plot.hwtANYN
Plot localized autocovariance (lacf) object.plot.lacf
Plot confidence intervals for localized autocovariance for locally stationary time series.plot.lacfCI
Produces a graphical representation of the results of a test of stationarity contained in a 'tos' object.plot.tos
Produces a graphical representation of the results of a test of stationarity from a 'tosANYN' object.plot.tosANYN
Print out a 'hwtANYN' class object, eg from the 'link{hwt}' function.print.hwtANYN
Print lacf class objectprint.lacf
Print basic information about a 'lacfCI' object.print.lacfCI
Print out a 'tos' class object, eg from the 'link{hwtos2}' function.print.tos
Print out a 'tosANYN' class object, eg from the 'link{hwtos}' function.print.tosANYN
Compute a running mean of a vectorrunmean
Compute confidence intervals for localized autocovariance for locally stationary time series.Rvarlacf
Interogates calculation store to see how well we are reusing previous calculations (debugging)StoreStatistics
Summarize the results of a Haar wavelet transform object computed from an arbitrary length vector.summary.hwtANYN
Summarizes a lacf objectsummary.lacf
Produce a brief summary of the contents of a 'lacfCI' objectsummary.lacfCI
Summarize the results of a test of stationarity contained i a 'tos' object.summary.tos
Summarize the results of a test of stationarity contained in an 'tosANYN' class object.summary.tosANYN
Simulate a realization from a particular TVAR(1) model.tvar1sim
Direct computation of estimate of variance of v_ip, the Haar wavelet coefficients of the periodogram.varip2
Helper routine for 'mkcoef'whichlevel
Intersperse zeroes in a vector.zeropad