TrendLSW: Wavelet Methods for Analysing Locally Stationary Time Series
Euan T. McGonigle, Rebecca Killick, Matthew A. Nunes · 2024
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.