Nonlinear Time Series: Nonparametric and Parametric Methods

Author: Fan Jianqing
Publisher:
Publish Date: 2006-01-01
Features: This book mainly includes modeling techniques in phase space, frequency domain, and time domain; to illustrate the integration of parametric and non-parametric methods in time series data analysis, the book provides a new discussion on certain parametric nonlinear models, such as ARCH/GARCH models and threshold models; as well as a concise perspective on ARMA models.