Nonlinear Time Series: Theory, Methods and Applications...

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Nonlinear Time Series: Theory, Methods...

Nonlinear Time Series: Theory, Methods and Applications with R Examples

Name: Nonlinear Time Series: Theory, Methods and Applications with R Examples
ISBN: 9781466502253

Randal Douc, Eric Moulines, David Stoffer

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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.

Категории:

Mathematics

Година:

2014

Издание:

Издателство:

Chapman and Hall/CRC

Език:

english

Страници:

551

ISBN 10: