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, John Wiley & Sons, 2018 (ISBN: 978-1-119-26407-1).


Reference manual

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1.1.2 by Xialu Liu, a year ago

Browse source code at

Authors: Ruey Tsay [aut] , Rong Chen [aut] , Xialu Liu [aut, cre]

Documentation:   PDF Manual  

Task views: Time Series Analysis

GPL (>= 2) license

Imports base, dlm, graphics, MASS, MSwM, Rdpack, parallel, splines, stats, tensor

Suggests testthat

See at CRAN