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Authors: Alessandro Cardinali, Guy P. Nason
Title: [download]
(1147)
Costationarity of Locally Stationary Time Series Using costat
Reference: Vol. 55, Issue 1, Oct 2013
Submitted 2011-02-22, Accepted 2013-03-19
Type: Article
Abstract:

This article describes the R package costat. This package enables a user to (i) perform a test for time series stationarity; (ii) compute and plot time-localized autocovariances, and (iii) to determine and explore any costationary relationship between two locally stationary time series. Two locally stationary time series are said to be costationary if there exists two time-varying combination functions such that the linear combination of the two series with the functions produces another time series which is stationary. Costationarity existing between two time series indicates a relationship between the series that might be usefully exploited in a number of ways. Sometimes the relationship itself is of interest, sometimes the derived stationary series is of interest and useful as a substitute for either of the original stationary series in some applications.

Paper: [download]
(1147)
Costationarity of Locally Stationary Time Series Using costat
(application/pdf, 482.5 KB)
Supplements: [download]
(156)
costat_2.3.tar.gz: R source package
(application/x-gzip, 83.8 KB)
[download]
(141)
v55i01.R: R example code from the paper
(application/octet-stream, 3.3 KB)
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v55i01-simulation.R: R code for replicating simulation results
(application/octet-stream, 149.1 KB)
Resources: BibTeX | OAI
Creative Commons License
This work is licensed under the licenses
Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3)
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