tseriesTARMA

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.

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