Model-based leading indicator paper appeared in Ecosphere

The paper describes the details of how modified linear models with time-varying parameters can be used to extract an indicator of instability for a time series that may be drifting towards a regime shift. The paper is available online in Ecosphere and elaborates on time-varying AR(p) and threshold AR(p) models that are presented here. The code to execute all this is currently in Matlab, aiming to convert it into a routine in the R environment.