Hello R users. There is a paper from Ruey Tsay with the title: "Testing and Modelling Threshold Autoregressive Processes", published in 1989 in the Journal of the American Statistical Association (March, Vol. 84, No. 405).
Mr. Tsay describes a very interesting way of identifying and modelling threshold AR processes. 1. Is there a package in R or some routines, which implements his ideas and his methodology? 2. Is there a routine in R to calculate the predictive residuals (like defined in the paper)? Thanks in advance. Regards, Andreas. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
