NonStationaryTS

Code archive to reproduce all analysis, simulations and figures in the paper Ryan, O., Haslbeck, J. M. B. & Waldorp ,L. J. (preprint) "Non-Stationarity in Time-Series Analysis: Modeling Stochastic and Deterministic Trends". Preprint here

Overview

This repository includes the following files:

• analysis_figures.R: Creates all figures and stored them in /figures. Where appropriate loads .RDS files from simulations created by other analysis files
• analysis_adfsim.R: Code to simulate the performance of the DF test, saves results in /files/simresults_adftest.RDS
• analysis_mldetrend.R: Simulates the performance of different multilevel detrendign approaches, saves results in /files/simres_mldetrend.RDS
• aux_functions.R: Includes auxiliary functions for plotting, data generation and manipulation, and simulation studies
• adf_flow.R: Function to perform DF testing based on sequential model testing
• /files: Includes simulation result files stored as .RDS
• /figures: Stores figures generated by analysis_figures.R