The analysis of time series data has for many years been a central component of statistical research and practice. Although the theory of linear time series is now well established, that of non-linear time series is still a rapidly developing subject. This book, now available in paperback, is an introduction to some of these developments and the present state of research.
Preface ; Acknowlegement ; Introduction ; 1. An introduction to dynamical systems ; 2. Some non-linear time series models ; 3. Probability structure ; 4. Statistical aspects ; 5. Non-linear least-squares prediction based on non-linear models ; 6. Case studies
Reviews for Non-linear Time Series: A Dynamical System Approach
'The book will no doubt become a standard reference on the subject, and the source of many an interesting research topic.' Marji Lines, University of Udine, Ricerche Economiche (1993) 47