SETAR_model {NonlinearTSA} | R Documentation |
This function allows you to estimate SETAR model
SETAR_model(y, delay_order, lag_length, trim_value)
y |
series name, |
delay_order |
Delay order, |
lag_length |
lag length |
trim_value |
trimmed value, .15, .10, .5 |
"Model" Estimated model
"threshold" the value of threshold
Burak Guris, R Uygulamalı Dogrusal Olmayan Zaman Serileri Analizi, DER Yayinevi, 2020.
x <- rnorm(100)
SETAR_model(x, 1, 12, .15)
data(IBM)
SETAR_model(IBM, 1, 12, .05)