Showing 3 of total 3 results (show query)
euanmcgonigle
TrendLSW:Wavelet Methods for Analysing Locally Stationary Time Series
Fitting models for, and simulation of, trend locally stationary wavelet (TLSW) time series models, which take account of time-varying trend and dependence structure in a univariate time series. The TLSW model, and its estimation, is described in McGonigle, Killick and Nunes (2022a) <doi:10.1111/jtsa.12643>, (2022b) <doi:10.1214/22-EJS2044>. New users will likely want to start with the TLSW function.
Maintained by Euan T. McGonigle. Last updated 11 months ago.
nonparametric-regressionspectral-analysisspectrumtime-seriestime-series-analysiswavelets
1 stars 3.30 score 3 scripts
adunaic
lpacf:Local Partial Autocorrelation Function Estimation for Locally Stationary Wavelet Processes
Provides the method for computing the local partial autocorrelation function for locally stationary wavelet time series from Killick, Knight, Nason, Eckley (2020) <doi:10.1214/20-EJS1748>.
Maintained by Rebecca Killick. Last updated 2 years ago.
1.48 score 2 scripts 1 dependentsadunaic
forecastLSW:Forecasting Routines for Locally Stationary Wavelet Processes
Implementation to perform forecasting of locally stationary wavelet processes by examining the local second order structure of the time series.
Maintained by Rebecca Killick. Last updated 2 years ago.
1.00 score 3 scripts