Nonlinear Time Series: Nonparametric and Parametric Methods

• Corporate Author: SpringerLink (Online service)
• Other Authors: Fan, Jianqing (Editor), Yao, Qiwei (Editor)
• Format: Electronic eBook
• Language: English
• Published: New York, NY : Springer New York, 2003.
• Series: Springer Series in Statistics
• Subjects: Statistics.; Economics, Mathematical.; Econometrics.; Statistical Theory and Methods.; Quantitative Finance.

Amongmanyexcitingdevelopmentsinstatisticsoverthelasttwodecades, nonlineartimeseriesanddata-analyticnonparametricmethodshavegreatly advanced along seemingly unrelated paths. In spite of the fact that the - plication of nonparametric techniques in time series can be traced back to the 1940s at least,...

Table of Contents:

• Characteristics of Time Series
• ARMA Modeling and Forecasting
• Parametric Nonlinear Time Series Models
• Nonparametric Density Estimation
• Smoothing in Time Series
• Spectral Density Estimation and Its Applications
• Nonparametric Models
• Model Validation
• Nonlinear Prediction.