STAR {tsDyn} | R Documentation |
STAR model fitting with automatic number of regimes selection
star(x, m=2, noRegimes, d = 1, steps = d, series, rob = FALSE, mTh, thDelay, thVar, sig=0.05, trace=TRUE, control=list(), ...)
x |
time series |
m, d, steps |
embedding dimension, time delay, forecasting steps |
noRegimes |
max number of regimes |
series |
time series name (optional) |
rob |
perform robust test? |
thDelay |
'time delay' for the threshold variable (as multiple of embedding time delay d) |
mTh |
coefficients for the lagged time series, to obtain the threshold variable |
thVar |
external threshold variable |
sig |
significance level for no. of regimes testing |
control |
further arguments to be passed as control list to
optim |
trace |
should additional infos be printed out? |
... |
currently unused |
TODO
star
returns an object of class nlar
, subclass star
, i.e. a list
with fitted model informations.
J. L. Aznarte
mod.star <- star(log10(lynx), m=2, mTh=c(0,1), control=list(maxit=3000)) mod.star