Nonlinear Time Series: Theory, Methods and Applications
by Douc, Randal
The first part is a classicl tine series with emphasis on linear state space models and detailed coverage of random coefficient autoregression, both ARCH and GARCH models. The second part introduces Markov chains, discussing stability, stationary distribution, ergodicity, limit theorems and statistical inference. Finally, self-contained account on nonlinear state space and sequential Monte Carlo methods.
Read More ↓Title Statements
- Full title :Nonlinear Time Series : Theory, Methods and Applications / Randal Douc, Eric Moulines, David S. Stoffer.
Summary
The first part is a classicl tine series with emphasis on linear state space models and detailed coverage of random coefficient autoregression, both ARCH and GARCH models. The second part introduces Markov chains, discussing stability, stationary distribution, ergodicity, limit theorems and statistical inference. Finally, self-contained account on nonlinear state space and sequential Monte Carlo methods.
Read More ↓Edition Statements
- Publication Date:©2014.
Publication Statements
- Publisher(s):Chapman and Hall /CRC
- Place of Publication:Boca Raton
- Language:eng
- Publication Date:©2014.
Notes
Indices.
The Physical Object
- Description:XX, 531 p. : : gráf. ; : 26 cm
Edition Identifiers
- ISBN:9781466502253, 1466502258
- oclc:ocn913071013
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