Nonlinear times series
Subtitle: theory, methods and applications with R examples
By: Randal Douc, Eric Moulines, David Stoffer
Contributors: Moulines, Eric., author; Stoffer, David S., author
Series: Chapman & Hall/CRC texts in statistical science
Publisher: CRC Press
Published: 2014
Place of publication: Boca Raton
Language: eng
ISBN-13: 9781466502253
Subjects: Time-series analysis; Mathematical models; MATHEMATICS / Probability & Statistics / General
Description: "This text emphasizes nonlinear models for a course in time series analysis. After introducing stochastic processes, Markov chains, Poisson processes, and ARMA models, the authors cover functional autoregressive, ARCH, threshold AR, and discrete time series models as well as several complementary approaches. They discuss the main limit theorems for Markov chains, useful inequalities, statistical techniques to infer model parameters, and GLMs. Moving on to HMM models, the book examines filtering and smoothing, parametric and nonparametric inference, advanced particle filtering, and numerical methods for inference"--
Notes: Includes bibliographical references and index.