tseriesTARMA-package

tseriesTARMA

It provides advanced functions for:<ul>
<li>TARMA model fitting and forecasting:<ul>
<li>Least Squares fitting of a full subset TARMA model, including robust M estimation.</li>
<li>Maximum Likelihood fitting of a subset TARMA model with common MA parts and possible covariates.</li>
</ul></li>
<li>TARMA testing for threshold type nonlinearity:<ul>
<li>Tests for AR vs TAR (asymptotic, bootstrap, wild bootstrap)</li>
<li>Tests for ARMA vs TARMA with both i.i.d. errors and GARCH errors.</li>
</ul></li>
<li>Unit-root testing against a stationary TARMA model</li>
</ul>

internal

Routines for nonlinear time series analysis based on Threshold Autoregressive Moving Average (TARMA) models. It provides functions and methods for: TARMA model fitting and forecasting, including robust estimators, see Goracci et al. JBES (2025) <doi:10.1080/07350015.2024.2412011>; tests for threshold effects, see Giannerini et al. JoE (2024) <doi:10.1016/j.jeconom.2023.01.004>, Goracci et al. Statistica Sinica (2023) <doi:10.5705/ss.202021.0120>, Angelini et al. (2024) OBES <doi:10.1111/obes.12647>; unit-root tests based on TARMA models, see Chan et al. Statistica Sinica (2024) <doi:10.5705/ss.202022.0125>.

Simone Giannerini

Analysis of Nonlinear Time Series Through Threshold
Autoregressive Moving Average Models (TARMA) Models

Greta Goracci

tseriesTARMA function

Simone Giannerini, <a href="/link/simone.giannerini%40uniud.it?package=tseriesTARMA&version=0.5-2" data-mini-rdoc="tseriesTARMA::simone.giannerini@uniud.it">simone.giannerini@uniud.it</a>
Greta Goracci, <a href="/link/greta.goracci%40unibz.it?package=tseriesTARMA&version=0.5-2" data-mini-rdoc="tseriesTARMA::greta.goracci@unibz.it">greta.goracci@unibz.it</a>

Author

tseriesTARMA: Analysis of Nonlinear Time Series through Threshold Autoregressive Moving Average Models (TARMA) models — tseriesTARMA

Simone Giannerini, <a href='mailto:simone.giannerini@uniud.it'>simone.giannerini@uniud.it</a>
Greta Goracci, <a href='mailto:greta.goracci@unibz.it'>greta.goracci@unibz.it</a>

tseriesTARMA: tseriesTARMA: Analysis of Nonlinear Time Series through Threshold Autoregressive Moving Average Models (TARMA) models

Description

Arguments

Author

References