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Elements of Nonlinear Time Series Analysis and Forecasting
ISBN-13:
9783319432526
Veröffentl:
2017
Seiten:
618
Autor:
Jan G. De Gooijer
Serie:
Springer Series in Statistics
eBook Typ:
PDF
eBook Format:
EPUB
Kopierschutz:
1 - PDF Watermark
Sprache:
Englisch
Beschreibung:
This book provides an overview of the current state-of-the-art of nonlinear time series analysis, richly illustrated with examples, pseudocode algorithms and real-world applications. Avoiding a "theorem-proof" format, it shows concrete applications on a variety of empirical time series. The book can be used in graduate courses in nonlinear time series and at the same time also includes interesting material for more advanced readers. Though it is largely self-contained, readers require an understanding of basic linear time series concepts, Markov chains and Monte Carlo simulation methods.
Introduction and Some Basic Concepts.- Classic Nonlinear Models.- Probabilistic Properties.- Frequency-Domain Tests.- Time-Domain Linearity Tests.- Model Estimation, Selection and Checking.- Tests for Serial Independence.- Time-Reversibility.- Semi- and Nonparametric Forecasting.- Forecasting Vector Parametric Models and Methods.- Vector Semi- and Nonparametric Methods.
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