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Nonlinear time series : theory, methods, and applications with R examples / Randal Douc; Eric Moulines; David S. Stoffer

By: Contributor(s): Resource type: Ressourcentyp: BuchBookPublisher number: K14426Language: English Series: Texts in statistical science | A Chapman & Hall bookPublisher: Boca Raton, Fla. [u.a.] : CRC Press, c 2014Description: XX, 531 S. : graph. DarstISBN:
  • 9781466502253
Subject(s): Genre/Form: Additional physical formats: Erscheint auch als: Nonlinear time series. Online-Ausgabe Boca Raton : CRC Press, Taylor & Francis Group, 2014. 1 Online-Ressource (XX, 531 Seiten)DDC classification:
  • 519.5/5 23
  • MAT029000
MSC: MSC: *62-02 | 62M10 | 62F10 | 62F15 | 62M05 | 60J10RVK: RVK: QH 237 | SK 845LOC classification:
  • QA280
Summary: This text emphasizes nonlinear models for a course in time series analysis. After introducing stochastic processes, Markov chains, Poisson processes, and ARMA models, the authors cover functional autoregressive, ARCH, threshold AR, and discrete time series models as well as several complementary approaches. They discuss the main limit theorems for Markov chains, useful inequalities, statistical techniques to infer model parameters, and GLMs. Moving on to HMM models, the book examines filtering and smoothing, parametric and nonparametric inference, advanced particle filtering, and numerical methods for inference.Summary: "This text emphasizes nonlinear models for a course in time series analysis. After introducing stochastic processes, Markov chains, Poisson processes, and ARMA models, the authors cover functional autoregressive, ARCH, threshold AR, and discrete time series models as well as several complementary approaches. They discuss the main limit theorems for Markov chains, useful inequalities, statistical techniques to infer model parameters, and GLMs. Moving on to HMM models, the book examines filtering and smoothing, parametric and nonparametric inference, advanced particle filtering, and numerical methods for inference"--PPN: PPN: 772357218
Holdings
Item type Home library Shelving location Call number Status Barcode
Freihandbestand ausleihbar Fachbibliothek Mathematik Bibliothek / frei aufgestellt Stoch. / Dou Available 36649265090
Total holds: 0
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