NTS
Nonlinear Time Series Analysis
Xialu Liu, Rong Chen, Ruey Tsay
Last update: 24 September 2023
Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0
Software version identifier: 1.0.0, 1.0.1, 1.1.0, 1.1.1, 1.1.2, 1.1.3
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).
This page was built for software: NTS
