Time series costationarity determination and tests of stationarity.

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Documentation for package ‘costat’ version 1.1-1

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costat-package Find costationary time series, compute time-localized autocovariance, time-localized cross-covariance, time-localized spectrum.
COEFbothscale Produces plots from output of findstysol that attempt to group different solutions.
COEFscale Graphical aid for detecting clustering in optimization solutions.
coeftofn Convert wavelet coefficients for two time-varying functions into two functions with respect to time.
costat Find costationary time series, compute time-localized autocovariance, time-localized cross-covariance, time-localized spectrum.
crosslacv Compute the time-localized cross-autocovariance of two time series
CrossWP Compute raw cross wavelet periodogram (not intended for casual use)
ewcrossspec Compute evolutionary wavelet cross spectrum from two series.
findstysols Given two time series find some time-varying linear combinations that are stationary.
lacv Computes localized (wavelet) autocovariance function
LCTS Computes a Linear Combination Test Statistics
LCTSres Plots solutions that are identified by findstysols
localvar Compute the time-localized (unconditional) variance for a time series
mergexy Concatenate a set of solution results into one set
myTOS Perform bootstrap stationarity test for time series
plotBS Compute p-value for parametric Monte Carlo test and optionally plot test statistic values
plottstosscan Plot the results of a multiple stationarity test on a time series
prodcomb Combine two time series using a time-varying linear combination.
SP500FTSElr Log-returns time series of the SP500 and FTSE100 indices
TOSts A test statistic for stationarity
tstosscan Perform a series of stationarity tests on a time series at different spans and locations.
x2 Particular section of SP500 log-returns series.
y2 Particular section of FTSE log-return series.