Nonlinear Time Series Analysis and Its Applications

Author: Wang Haiyan
Publisher:
Publish Date: 2006-11-01
Features: This book takes observation or experimental time series from deterministic nonlinear systems as the research object. Based on an analysis of the background and significance of the problem, it summarizes the basic process of univariate nonlinear time series analysis and provides a detailed review of the fundamental methods for univariate nonlinear time series analysis. Since multivariate time series are often obtainable in practical problems, this book extends the methods of univariate nonlinear time series analysis to the case of multivariate nonlinear time series. It focuses on researching methods for testing system nonlinearity based on multivariate time series, phase space reconstruction methods for multivariate time series, and prediction methods for multivariate nonlinear time series. Finally, these methods are applied to index time series in the securities market. This book is self-contained and can serve as a reference for senior undergraduate and graduate students in fields such as systems engineering, management science, financial engineering, applied mathematics, biomedical engineering, and signal processing, as well as for scientific researchers working in related areas.