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tsDyn is an R package for nonlinear time series modelling.

In particular, some non-linear autoregressive models are implemented (NLAR):

  • SETAR
  • LSTAR
  • STAR
  • NNET
  • AAR
There are also some tests for nonlinearity and independence. A short guide is bundled, once installed type

> vignette('tsDyn')

at the R prompt.

Current release is 0.6. You can download package sources, as well as Windows and MacOsX binaries from a CRAN mirror near you.

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