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Nonlinear Time Series Analysis

by Ruey S. Tsay and Rong Chen

Wiley Series in Probability and Statistics, John Wiley, ISBN 978-1-119-264057 (2018)

This page contains the data sets and selected R commands used in the text.

The NTS package associated with the book is available from R CRAN.

All analyses in the text were carried out with R.

Errata of the text.

Solutions to exercises are available for instructors who use the book as a textbook. To register to receive the Solutions, please visit this site and register: http://bcs.wiley.com/he-bcs/Books?action=resource&bcsId=9001&itemId=0470414359&resourceId=35641

[Please do not contact the authors directly.]

Chapter 1: Why Should We Care About Nonlinearity?

Data sets used in the chapter and exercises: data-ch1.zip (file names are given in the text)

R packages used: NTS, fNonlinear, and TSA

R commands used: Rcommands_ch1.txt

Chapter 2: Univariate Parameteric Nonlinear Models

Data sets used (including exercises): data-ch2.zip

R package used: NTS, MSwM, dlm, and tsDyn

R commands used in Chapter 2: Rcommands_ch2.txt

Chapter 3: Univariate Nonparametric Models

Data sets used (including exercises): data-ch3.zip

R package used: NTS, sm, np, KernSmooth, stats, splines, wmtsa, mda, gam, dr, and fds

R commands used in Chapter 3: Rcommands_ch3.txt

Chapter 4: Neural Networks, Deep Learning, and Tree-based Methods

Data sets used (including exercises): data-ch4.zip

R package used: NTS, darch, deepnet, MASS, tree, randomForest, and nnet

R commands used in Chapter 4: Rcommands_ch4.txt

Chapter 5: Analysis of Non-Gaussian Time Series

Data sets used (including exercises): data-ch5.zip

R packages used: NTS, glarma, fGarch, rugarch, tscount, and fds

R commands used in Chapter 5: Rcommands_ch5.txt

Chapter 6: State Space Models

Data sets used (including exercises): data-ch6.zip

R package used: NTS and dlm

R commands used in Chapter 6: Rcommands_ch6.txt

Chapter 7: Nonlinear State Space Models

Data sets used (including exercises): data-ch7.zip

R packages used: NTS, dlm,

R commands used in Chapter 7: Rcommands_ch7.txt

Chapter 8: Sequential Mento Carlo

Data sets used (including exercises): data-ch8.zip

R packages used: NTS, dlm, tsDyn

R commands used in Chapter 8: Rcommands_ch8.txt