rotcumvar              package:waveslim              R Documentation

_R_o_t_a_t_e_d _C_u_m_u_l_a_t_i_v_e _V_a_r_i_a_n_c_e

_D_e_s_c_r_i_p_t_i_o_n:

     Provides the normalized cumulative sums of squares from a sequence
     of coefficients with the diagonal line removed.

_U_s_a_g_e:

     rotcumvar(x)

_A_r_g_u_m_e_n_t_s:

       x: vector of coefficients to be cumulatively summed (missing
          values excluded)

_D_e_t_a_i_l_s:

     The rotated cumulative variance, when plotted, provides a
     qualitative way to study the time dependence of the variance of a
     series.  If the variance is stationary over time, then only small
     deviations from zero should be present.  If on the other hand the
     variance is non-stationary, then large departures may exist. 
     Formal hypothesis testing may be performed based on boundary
     crossings of Brownian bridge processes.

_V_a_l_u_e:

     Vector of coefficients that are the sumulative sum of squared
     input coefficients.

_A_u_t_h_o_r(_s):

     B. Whitcher

_R_e_f_e_r_e_n_c_e_s:

     Gencay, R., F. Selcuk and B. Whitcher (2001) _An Introduction to
     Wavelets and Other Filtering Methods in Finance and Economics_,
     Academic Press.

     Percival, D. B. and A. T. Walden (2000) _Wavelet Methods for Time
     Series Analysis_, Cambridge University Press.

