NTS: Nonlinear Time Series Analysis

Simulation, estimation, prediction procedure, and model identification methods for nonlinear time series analysis, including threshold autoregressive models, Markov-switching models, convolutional functional autoregressive models, nonlinearity tests, Kalman filters and various sequential Monte Carlo methods. More examples and details about this package can be found in the book "Nonlinear Time Series Analysis" by Ruey S. Tsay and Rong Chen, Wiley, 2018 (ISBN: 978-1-119-26407-1).

Getting started

Package details

AuthorRuey Tsay [aut], Rong Chen [aut], Xialu Liu [aut, cre]
MaintainerXialu Liu <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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NTS documentation built on May 1, 2019, 8:22 p.m.