Extracting knowledge from time series. An introduction to nonlinear empirical modeling (Q974096): Difference between revisions

Another book on time-series! But it is a textbook for physicists and practitioners, and in this way of thought it is welcome. Its main purpose is to explain and illustrate how time series can be used to construct mathematical models for dynamical systems. There is no separation of the theory from the applications but rather they are put together, and step by step the applications supports the presentation of the basic theoretical formulation. The theory itself is reduced to the essential of time-series, and it may be not enough for a professional in statistics; but in contrast, the modeling part of the book is expanded at length with regard to the meaning of this modeling on the one hand, and the variety of applications on the other hand. The first part of the book deals with models and forecast (nonrandom dynamical systems, stochastic systems) to present the problem the book is dealing with, and the second part details how to perform modeling from time series identification, parameter estimation, restoration of explicit temporal dependencies.