Nonlinear Time Series

Semiparametric and Nonparametric Methods

Jiti Gao

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English

Chapman & Hall/CRC
18 October 2019

Probability & statistics; Maths for scientists; Maths for engineers

Series: Chapman & Hall/CRC Monographs on Statistics and Applied Probability

Useful in the theoretical and empirical analysis of nonlinear time series data, semiparametric methods have received extensive attention in the economics and statistics communities over the past twenty years. Recent studies show that semiparametric methods and models may be applied to solve dimensionality reduction problems arising from using fully nonparametric models and methods. Answering the call for an up-to-date overview of the latest developments in the field, Nonlinear Time Series: Semiparametric and Nonparametric Methods focuses on various semiparametric methods in model estimation, specification testing, and selection of time series data.

After a brief introduction, the book examines semiparametric estimation and specification methods and then applies these approaches to a class of nonlinear continuous-time models with real-world data. It also assesses some newly proposed semiparametric estimation procedures for time series data with long-range dependence. Even though the book only deals with climatological and financial data, the estimation and specifications methods discussed can be applied to models with real-world data in many disciplines.

This resource covers key methods in time series analysis and provides the necessary theoretical details. The latest applied finance and financial econometrics results and applications presented in the book enable researchers and graduate students to keep abreast of developments in the field.

By: Jiti Gao
Imprint: Chapman & Hall/CRC
Country of Publication: United Kingdom
Dimensions: Height: 229mm, Width: 152mm,
Weight: 458g
ISBN: 9780367389352
ISBN 10: 0367389355
Series: Chapman & Hall/CRC Monographs on Statistics and Applied Probability
Pages: 237
Publication Date: 18 October 2019
Audience: College/higher education , General/trade , Primary , ELT Advanced
Format: Paperback
Publisher's Status: Active

Gao, Jiti