SETAR_model {NonlinearTSA}

SETAR model estimation

Description

This function allows you to estimate SETAR model

Usage

SETAR_model(y, delay_order, lag_length, trim_value)

Arguments

y

series name,

delay_order

Delay order,

lag_length

lag length

trim_value

trimmed value, .15, .10, .5

Value

"Model" Estimated model

"threshold" the value of threshold

References

Burak Guris, R Uygulamalı Dogrusal Olmayan Zaman Serileri Analizi, DER Yayinevi, 2020.

Examples

x <- rnorm(100)
SETAR_model(x, 1, 12, .15)


data(IBM)
SETAR_model(IBM, 1, 12, .05)