Elements of Nonlinear Time Series Analysis and Forecasting

• Main Author: De Gooijer, Jan G. (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2017.
• Series: Springer Series in Statistics,
• Subjects: Statistics.; Statistical Theory and Methods.; Statistics for Life Sciences, Medicine, Health Sciences.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Applications of Nonlinear Dynamics and Chaos Theory.

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...

Table of Contents:

• 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. .