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.