Nonlinear Time Series

Nonparametric and Parametric Methods

Jianqing Fan, Qiwei Yao

570 pages, parution le 14/04/2003

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Résumé

This is the first book that integrates useful parametric and nonparametric techniques with time series modeling and prediction, the two important goals of time series analysis. A distinct feature of this book is that it applies many modern nonparametric estimation and testing ideas to time series modeling and model identification, while outlines many useful ideas from more traditional time series analysis.

This will enable readers to use modern data-analytic techniques while keeping in touch with traditional approaches, and make the book self-contained. Such a book will benefit researchers and practitioners in various fields such as econometricians, meteorologists, biologists, among others who wish to learn useful time series methods within a short period of time.

The book also intends to serve as a reference or text book for graduate students in statistics and econometrics.

Contents

Introduction
Characteristics of Time Series
ARMA Modeling and Forecasting
Parametric Nonlinear Time Series Models
Nonparametric Density Estimation
Smoothing in Time Series
Spectral Density Estimation and Its Applications
Nonparametric Models
Model Validation
Nonlinear Prediction

References
Author Index
Subject Index

L'auteur - Jianqing Fan

Jianqing Fan, coauthor of the highly regarded book Local Polynomial Modeling, is Professor of Statistics at the University of North Carolina at Chapel Hill and the Chinese University of Hong Kong. His published work on nonparametric modeling, nonlinear time series, financial econometrics, analysis of longitudinal data, model selection, wavelets and other aspects of methodological and theoretical statistics has been recognized with the Presidents' Award from the Committee of Presidents of Statistical Societies, the Hettleman Prize for Artistic and Scholarly Achievement from the University of North Carolina, and by his election as a fellow of the American Statistical Association and the Institute of Mathematical Statistics.

L'auteur - Qiwei Yao

Qiwei Yao is Professor of Statistics at the London School of Economics and Political Science. He is an elected member of the International Statistical Institute, and has served on the editorial boards for the Journal of the Royal Statistical Society (Series B) and the Australian and New Zealand Journal of Statistics.

Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Jianqing Fan, Qiwei Yao
Parution	14/04/2003
Nb. de pages	570
Format	16 x 24
Couverture	Relié
Poids	930g
Intérieur	Noir et Blanc
EAN13	9780387951706
ISBN13	978-0-387-95170-6