r-hystar

Description

Fit the Hysteretic Threshold Autoregressive Model.

Description

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>.

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Version

1.0.0

License

Unknown

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Platforms75 (75)

Platforms (75)