STAR {tsDyn}R Documentation

STAR model

Description

STAR model fitting with automatic number of regimes selection

Usage

star(x, m=2, noRegimes, d = 1, steps = d, series, rob = FALSE,
                 mTh, thDelay, thVar, sig=0.05, trace=TRUE, control=list(), ...)

Arguments

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

Details

TODO

Value

star returns an object of class nlar, subclass star, i.e. a list with fitted model informations.

Author(s)

J. L. Aznarte

See Also

addRegime

Examples

mod.star <- star(log10(lynx), m=2, mTh=c(0,1), control=list(maxit=3000))
mod.star

[Package tsDyn version 0.6-1 Index]