Nonlinear Time Series - Theory, Methods and Applications With R Examples

"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"--

Product details

• Authors: Randal Douc, Randal (Telecom Sudparis Douc, Randal Moulines Douc, Douc Randal, Eric Moulines, Moulines Eric, David Stoffer
• Publisher: Taylor & Francis Ltd.
• Languages: English
• Product format: Hardback
• Released: 06.01.2014
• EAN: 9781466502253
• ISBN: 978-1-4665-0225-3
• No. of pages: 552
• Series: Chapman & Hall/CRC Texts in Statistical Science
• Subjects: Natural sciences, medicine, IT, technology > Mathematics > Probability theory, stochastic theory, mathematical statistics; Social sciences, law, business > Business > General, dictionaries; MATHEMATICS / Probability & Statistics / General, Economic statistics, Probability & statistics, Probability and statistics, Technology, Engineering, Agriculture, Econometrics and economic statistics, Technology, Engineering, Agriculture, Industrial processes