TrendLSW

Wavelet Methods for Analysing Locally Stationary Time Series

CRAN Package

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) , (2022b) . New users will likely want to start with the TLSW function.

  • Version1.0.2
  • R version≥ 4.1.0
  • LicenseGPL (≥ 3)
  • Needs compilation?No
  • Last release04/30/2024

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