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tsDyn (version 0.7-1)
Time series analysis based on dynamical systems theory
Description
Time series analysis based on dynamical systems theory
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Install
install.packages('tsDyn')
Monthly Downloads
3,804
Version
0.7-1
License
GPL (>= 2)
Maintainer
Matthieu Stigler
Last Published
September 5th, 2009
Functions in tsDyn (0.7-1)
Search all functions
extendBoot
extension of the bootstrap replications
UsUnemp
US unemployment series used in Caner and Hansen (2001)
IIPUs
US monthly industrial production from Hansen (1999)
TVAR.LRtest
Test of linearity
KapShinTest
Test of unit root against SETAR alternative with
resVar
Residual variance
autotriples
Trivariate time series plots
sigmoid
sigmoid functions
setar.sim
Simulation and bootstrap of Treshold Autoregressive model
delta
delta test of conditional indipendence
llar
Locally linear model
zeroyld
zeroyld time series
autotriples.rgl
Interactive trivariate time series plots
selectSETAR
Automatic selection of SETAR hyper-parameters
LINEAR
Linear AutoRegressive models
TVAR
Multivariate Treshold Autoregressive model
mse
Mean Square Error
nlar.struct
NLAR common structure
BIC
Bayesian (Schwarz) information criterion
MAPE
Mean Absolute Percent Error
plot methods
Plotting methods for setar and lstar subclasses
isLinear
isLinear
addRegime
addRegime test
autopairs
Bivariate time series plots
computeGradient
computeGradient
toLatex.setar
Latex representation of fitted setar models
selectHyperParms
Automatic selection of model hyper-parameters
nlar
Non-linear time series model, base class definition
setarTest
Test of linearity
TVECM.SeoTest
No cointegration vs threshold cointegration test
oneStep
oneStep
availableModels
Available models
TVAR.sim
Simulation and bootstrap of multivariate Treshold Autoregressive model
nlar methods
nlar methods
delta.lin
delta test of linearity
LSTAR
Logistic Smooth Transition AutoRegressive model
nlarDialog
GUI to nlar
tsDyn-package
Getting started with the tsDyn package
lineVar
Multivariate liner models: VAR and VECM
getTh
Extract threshold(s) coefficient
TVECM.sim
Simulation and bootstrap of bivariate VECM/TVECM
NNET
Neural Network nonlinear autoregressive model
BBCTest
Test of unit root against SETAR alternative
AAR
Additive nonlinear autoregressive model
TVECM
Treshold Vector Error Correction model (VECM)
STAR
STAR model
regime
Extract variable showing regime
MakeThSpec
Specification of the threshold search
SETAR
Self Threshold Autoregressive model
TVECM.HSTest
Test of linear cointegration vs threshold cointegration
barry
Time series of PPI used as example in Bierens and Martins (2010)
VECM
Estimation of Vector error correction model (VECM) by EG or MLE
VAR.sim
Simulation of VAR