Package: tseriesTARMA 0.5-1

Simone Giannerini

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

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) <doi:10.48550/arXiv.2308.00444>; unit-root tests based on TARMA models, see Chan et al. Statistica Sinica (2024) <doi:10.5705/ss.202022.0125>.

Authors:Simone Giannerini [aut, cre], Greta Goracci [aut]

tseriesTARMA_0.5-1.tar.gz
tseriesTARMA_0.5-1.tar.gz(r-4.5-noble)tseriesTARMA_0.5-1.tar.gz(r-4.4-noble)
tseriesTARMA_0.5-1.tgz(r-4.4-emscripten)
tseriesTARMA.pdf |tseriesTARMA.html
tseriesTARMA/json (API)
NEWS

# Install 'tseriesTARMA' in R:
install.packages('tseriesTARMA', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Uses libs:
  • openblas– Optimized BLAS
  • fortran– Runtime library for GNU Fortran applications
Datasets:
  • ACValues - Andrews Tabulated Critical Values
  • supLMQur - Tabulated Critical Values for the Unit Root IMA vs TARMA test

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

fortranopenblas

3.08 score 24k downloads 10 exports 35 dependencies

Last updated 2 months agofrom:f2299190b4. Checks:OK: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKDec 08 2024
R-4.5-linux-x86_64OKDec 08 2024

Exports:plot.tsfitTAR.testTAR.test.BTARMA.fitTARMA.fit2TARMA.simTARMA.testTARMAGARCH.testTARMAur.testTARMAur.test.B

Dependencies:chronDistributionUtilsfitdistrplusFNNfracdiffGeneralizedHyperbolickernlabKernSmoothkslatticelbfgsb3cMASSmathjaxrMatrixmclustmgcvmulticoolmvtnormnlmenloptrnumDerivpracmarbibutilsRcppRcppArmadilloRdpackrlangRsolnprugarchSkewHyperbolicspdsurvivaltruncnormxtszoo