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