Analysis of Nonlinear Time Series Through Threshold Autoregressive Moving Average Models (TARMA) Models
Plot from fitted/forecasted time series models.
TARMA Modelling of Time Series
Simulation of a two-regime TARMA(p1,p2,q1,q2) process
ARMA versus TARMA (and AR versus TAR) supLM tests for nonlinearity
ARMA GARCH versus TARMA GARCH supLM test for nonlinearity
Unit root supLM test for an integrated MA versus a stationary TARMA pr...
Unit root supLM test for an integrated MA versus a stationary TARMA pr...
tseriesTARMA: Analysis of Nonlinear Time Series through Threshold Auto...
Forecast from fitted TARMA models.
Methods for TARMA fits
Methods for TARMA tests
AR versus TAR bootstrap supLM test for nonlinearity
AR versus TARMA supLM robust test for nonlinearity
TARMA Modelling of Time Series
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>.