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).


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install.packages("NTS")

1.0.0 by Xialu Liu, 2 months ago


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


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


See at CRAN