Nonlinear time series analysis / Ruey S. Tsay and Rong Chen.

Format:

Book

Author/Creator:

Tsay, Ruey S., 1951- author.

Chen, Rong, 1963- author.

Contributor:

President Emeritus Martin Meyerson Fund.

Wiley InterScience (Online service).

Series:

Wiley series in probability and statistics

Language:

English

Subjects (All):

Time-series analysis.

Nonlinear theories.

Physical Description:

1 online resource.

Place of Publication:

Hoboken, NJ : John Wiley & Sons, 2019.

System Details:

text file

Contents:

Intro; Nonlinear Time Series Analysis; Contents; Preface; 1 Why Should We Care About Nonlinearity?; 1.1 Some Basic Concepts; 1.2 Linear Time Series; 1.3 Examples of Nonlinear Time Series; 1.4 Nonlinearity Tests; 1.4.1 Nonparametric Tests; 1.4.2 Parametric Tests; Exercises; References; 2 Univariate Parametric Nonlinear Models; 2.1 A General Formulation; 2.1.1 Probability Structure; 2.2 Threshold Autoregressive Models; 2.2.1 A Two-regime TAR Model; 2.2.2 Properties of Two-regime TAR(1) Models; 2.2.3 Multiple-regime TAR Models; 2.2.4 Estimation of TAR Models; 2.2.5 TAR Modeling; 2.2.6 Examples

2.2.7 Predictions of TAR Models2.3 Markov Switching Models; 2.3.1 Properties of Markov Switching Models; 2.3.2 Statistical Inference of the State Variable; 2.3.3 Estimation of Markov Switching Models; 2.3.4 Selecting the Number of States; 2.3.5 Prediction of Markov Switching Models; 2.3.6 Examples; 2.4 Smooth Transition Autoregressive Models; 2.5 Time-varying Coefficient Models; 2.5.1 Functional Coefficient AR Models; 2.5.2 Time-varying Coefficient AR Models; 2.6 Appendix: Markov Chains; Exercises; References; 3 Univariate Nonparametric Models; 3.1 Kernel Smoothing; 3.2 Local Conditional Mean

3.3 Local Polynomial Fitting3.4 Splines; 3.4.1 Cubic and B-Splines; 3.4.2 Smoothing Splines; 3.5 Wavelet Smoothing; 3.5.1 Wavelets; 3.5.2 The Wavelet Transform; 3.5.3 Thresholding and Smoothing; 3.6 Nonlinear Additive Models; 3.7 Index Model and Sliced Inverse Regression; Exercises; References; 4 Neural Networks, Deep Learning, and Tree-based Methods; 4.1 Neural Networks; 4.1.1 Estimation or Training of Neural Networks; 4.1.2 An Example; 4.2 Deep Learning; 4.2.1 Deep Belief Nets; 4.2.2 Demonstration; 4.3 Tree-based Methods; 4.3.1 Decision Trees; 4.3.2 Random Forests; Exercises; References

5 Analysis of Non-Gaussian Time Series5.1 Generalized Linear Time Series Models; 5.1.1 Count Data and GLARMA Models; 5.2 Autoregressive Conditional Mean Models; 5.3 Martingalized GARMA Models; 5.4 Volatility Models; 5.5 Functional Time Series; 5.5.1 Convolution FAR models; 5.5.2 Estimation of CFAR Models; 5.5.3 Fitted Values and Approximate Residuals; 5.5.4 Prediction; 5.5.5 Asymptotic Properties; 5.5.6 Application; Appendix: Discrete Distributions for Count Data; Exercises; References; 6 State Space Models; 6.1 A General Model and Statistical Inference; 6.2 Selected Examples

6.2.1 Linear Time Series Models6.2.2 Time Series With Observational Noises; 6.2.3 Time-varying Coefficient Models; 6.2.4 Target Tracking; 6.2.5 Signal Processing in Communications; 6.2.6 Dynamic Factor Models; 6.2.7 Functional and Distributional Time Series; 6.2.8 Markov Regime Switching Models; 6.2.9 Stochastic Volatility Models; 6.2.10 Non-Gaussian Time Series; 6.2.11 Mixed Frequency Models; 6.2.12 Other Applications; 6.3 Linear Gaussian State Space Models; 6.3.1 Filtering and the Kalman Filter; 6.3.2 Evaluating the likelihood function; 6.3.3 Smoothing; 6.3.4 Prediction and Missing Data

Notes:

Includes index.

Includes bibliographical references and index.

Electronic reproduction. Hoboken, N.J. Available via World Wide Web.

Description based on online resource; title from digital title page (viewed on November 07, 2018).

Local Notes:

Acquired for the Penn Libraries with assistance from the President Emeritus Martin Meyerson Fund.

Other Format:

Print version: Tsay, Ruey S., 1951- author. Nonlinear time series analysis

ISBN:

9781119264064

1119264065

9781119514312

1119514312

Publisher Number:

99978395918

Access Restriction:

Restricted for use by site license.