Nonlinear Time Series Analysis

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Documentation for package ‘NTS’ version 1.1.1

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ACMx Estimation of Autoregressive Conditional Mean Models
backTAR Backtest for Univariate TAR Models
backtest Backtest
est_cfar Estimation of a CFAR Process
est_cfarh Estimation of a CFAR Process with Heteroscedasticity and Irregualar Observation Locations
F.test F Test for Nonlinearity
F_test_cfar F Test for a CFAR Process
F_test_cfarh F Test for a CFAR Process with Heteroscedasticity and Irregular Observation Locations
g_cfar Generate a CFAR Process
g_cfar1 Generate a CFAR(1) Process
g_cfar2 Generate a CFAR(2) Process
g_cfar2h Generate a CFAR(2) Process with Heteroscedasticity and Irregular Observation Locations
hfDummy Create Dummy Variables for High-Frequency Intraday Seasonality
MSM.sim Generate Univariate 2-regime Markov Switching Models
mTAR Estimation of a Multivariate Two-Regime SETAR Model
mTAR.est Estimation of Multivariate TAR Models
mTAR.pred Prediction of A Fitted Multivariate TAR Model
mTAR.sim Generate Two-Regime (TAR) Models
PRnd ND Test
p_cfar Prediction of CFAR Processes
p_cfar_part Partial Curve Prediction of CFAR Processes
rankQ Rank-Based Portmanteau Tests
rcAR Estimating of Random-Coefficient AR Models
ref.mTAR Refine A Fitted 2-Regime Multivariate TAR Model
thr.test Threshold Nonlinearity Test
Tsay Tsay Test for Nonlinearity
tvAR Estimate Time-Varying Coefficient AR Models
tvARFiSm Filtering and Smoothing for Time-Varying AR Models
uTAR Estimation of a Univariate Two-Regime SETAR Model
uTAR.est General Estimation of TAR Models
uTAR.pred Prediction of A Fitted Univariate TAR Model
uTAR.sim Generate Univariate SETAR Models