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tseriesTARMA: Analysis of Nonlinear Time Series Through Threshold Autoregressive Moving Average Models (TARMA) Models
Routines for nonlinear time series analysis based on Threshold Autoregressive Moving Average (TARMA) models. It provides functions and methods for: TARMA model fitting and forecasting, including robust estimators, see Goracci et al. JBES (2025) <doi:10.1080/07350015.2024.2412011>; tests for threshold effects, see Giannerini et al. JoE (2024) <doi:10.1016/j.jeconom.2023.01.004>, Goracci et al. Statistica Sinica (2023) <doi:10.5705/ss.202021.0120>, Angelini et al. (2024) <doi:10.48550/arXiv.2308.00444>; unit-root tests based on TARMA models, see Chan et al. Statistica Sinica (2024) <doi:10.5705/ss.202022.0125>.
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Package details |
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| Author | Simone Giannerini [aut, cre] (<https://orcid.org/0000-0002-0710-668X>), Greta Goracci [aut] (<https://orcid.org/0000-0001-5212-0539>) |
| Maintainer | Simone Giannerini <simone.giannerini@uniud.it> |
| License | GPL (>= 2) |
| Version | 0.5-1 |
| Package repository | View on CRAN |
| Installation |
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