Nonlinear times series
theory, methods and applications with R examples
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Author
Contributions
- Moulines, Eric., author - Contributor
- Stoffer, David S., author - Contributor
Publication
2014 - CRC Press, Boca Raton, Florida
Language
English
Word Count
0 words, Guess
Page Count
0 pages
Identifiers
- ISBN-139781466502253
- ISBN-101466502258
- Library of Congress Control Number2013045980
- Better World Books9781466502253
- Open LibraryOL31180361M
Classifications
- DDC519.5/5
- LCCQA280 .D68 2014
- LCCQA280
Description
"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"--
Subjects
Series Statement
- Chapman & Hall/CRC texts in statistical science
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