Unit Root Tests for Seasonal Time Series

Seasonal unit roots and seasonal stability tests. P-values based on response surface regressions are available for both tests. P-values based on bootstrap are available for seasonal unit root tests. A parallel implementation of the bootstrap method requires a CUDA capable GPU with compute capability >= 3.0, otherwise a debugging version fully coded in R is used.


News

Version 2.0-9 2017-01-27

o Further improvements to make configure portable. Following the suggestion by Kurt Hornik, I went back to the initial idea of defining a rule %cu : %.o (as those defined in
/usr/lib/R/etc/Makeconf) and let Makeconf do the rest. The problem I found before was that the default linker (e.g. g++) couldn't link objects compiled with nvcc. Now, I have found that a second stage "nvcc -dlink" is needed in order to generate objects to be linked by a linker other than nvcc. Required flags are passed to the linker via PKG_LIBS.

When cuda files are compiled, R CMD reports 
"Found ‘exit’, possibly from ‘exit’ (C)"
This may require some fix in the future; currently 
no issue was observed when using the package.

Version 2.0-8 2017-01-24

o Configure failed on some systems. As reported by CRAN maintainer: """ on Fedora we see ** libs g++ -std=gnu++98 -shared -L/usr/local/lib64 -o uroot.so g++: fatal error: no input files and the corresponding .mk with uroot: $(CXX) -shared $(LDFLAGS) -o uroot.so is simply invalid: not only are there no source files, '-shared' is not portable and CXXFLAGS and CXXPICFLAGS are missing. """ Current solution: define a NAMESPACE.in where "dynload(uroot)" is included at the configure step depending on whether CUDA is detected or not. configure.win remains as before (remove directory 'src', as I cannot check the configure step on a Windows system with CUDA). As reported by R CMD check, "NAMESPACE.in" is a non-standard file, but it seems the easiest way to avoid a dummy .so file.

Version 2.0-7 2017-01-22

o The configure script has been modified slightly in the hope to be more portable.

o The flag -lR has been removed when the dummy uroot.so file is generated (when CUDA is not available).

o configure.win has been simplified. CUDA files are ignored because I couldn't test it on a windows system with a CUDA enabled GPU.

o Added document uroot-intro.pdf with links to further documentation.

Version 2.0-6 2017-01-05

o A cleanup script has been added.

o GNU make is no longer a SystemRequirements. Include files are used in order to avoid the 'ifeq' GNU make extension, this makes Makevars more portable.

o The configure script creates now appropriate environment variables when it detects that it is running on the ARINA cluster of the UPV/EHU.

Version 2.0-5 2016-03-18

o Based on an older version of package uroot. This version provides the CH test for seasonal stability and the HEGY test for seasonal unit roots. The functions that implement these tests have been coded from the scratch in order to include the
following new features: 1) the tests are applicable to series of any seasonal periodicity, 2) p-values based on response surface regressions are available for both tests, 3) bootstrapped p-values are available for the HEGY test.

Reference manual

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install.packages("uroot")

2.0-9 by Javier López-de-Lacalle, a year ago


https://jalobe.com


Browse source code at https://github.com/cran/uroot


Authors: Javier López-de-Lacalle <[email protected]>


Documentation:   PDF Manual  


Task views: Time Series Analysis


GPL-2 license


Depends on stats

System requirements: nvcc (release >= 7.1) (NVIDIA Cuda Compiler driver)


Imported by forecast.


See at CRAN