Non-linear Time Series

A Dynamical System Approach

Tong

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English

Clarendon Press
08 July 1993

Probability & statistics; Chaos theory

Series: Oxford Statistical Science Series

The analysis of time series data has for many years been a central component of statistical research and practice and the theory of linear time series is now well-established. However, the theory of non-linear time series is still a rapidly developing subject. This book is an introduction to some of these developments and the present state of research.

It is a theme of this book that developments in the study of dynamical systems have motivated many of the advances covered here. Consequently, Professor Tong discusses in some detail the fundamental concepts of dynamical systems theory such as limit cycles, Lyapunov exponents, thresholds, and stability, and demonstrates their role in the analysis of non-linear time series.

The result is a book which provides the first accessible and comprehensive account of these exciting new developments and bridges the gap between linear and chaotic time series analysis. Both statisticians and dynamical system theorists will benefit from this account of the interplay between their subjects and the author has included discussions of many of the outstanding open problems which remain.

As a companion to this book, a microcomputer software package is available for the testing for nonlinearity and the fitting of threshold autoregressive models. For more information, please contact the author.

By: Tong
Imprint: Clarendon Press
Country of Publication: United Kingdom
Edition: New edition
Volume: 6
Dimensions: Height: 234mm, Width: 155mm, Spine: 30mm
Weight: 822g
ISBN: 9780198523000
ISBN 10: 0198523009
Series: Oxford Statistical Science Series
Pages: 580
Publication Date: 08 July 1993
Audience: Professional and scholarly , Undergraduate
Format: Paperback
Publisher's Status: Active

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