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Fit the Hysteretic Threshold Autoregressive Model

Last update: 5 July 2023

Copyright license: MIT license, File License

Software version identifier: 1.0.0

Estimate parameters of the hysteretic threshold autoregressive (HysTAR) model, using conditional least squares. In addition, you can generate time series data from the HysTAR model. For details, see Li, Guan, Li and Yu (2015) <doi:10.1093/biomet/asv017>.

Cites work

Hysteretic autoregressive time series models

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