hystar:Fit the Hysteretic Threshold Autoregressive Model

Research output: Non-textual formSoftwareAcademic

Abstract

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>.
Original languageEnglish
Media of outputOnline
Publication statusPublished - 3 Jul 2023

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