Elements of nonlinear time series analysis and forecasting
estimationforecastingMarkov chainsnonlinear time seriesnonparametric testparametric univariate nonlinear modelsprediction
Prediction theory (aspects of stochastic processes) (60G25) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)
This book is designed to be used as a course in the subject or in Nonlinear Model Identification to graduate students in systems engineering, mathematics, statistics, and econometrics. The book is organized into 12 chapters. Chapter 1 gives an introduction to the basic problems and concepts studied in the book. Real data sets taken from different subject areas are discussed as examples of applications of some techniques studied in the book. These techniques are complemented with tests for exploratory data analysis. Chapter 2 introduces a number of ``classic parametric univariate nonlinear models that have proven to be useful in modeling many nonlinear phenomena, among them, some nonlinear non-Gaussian models and artificial neural networks. Chapter 3 reviews some of the important probabilistic properties of stochastic processes, mainly Markov chains on a general state space, and necessary and sufficient conditions for stationarity and invertibility of nonlinear time series. Chapter 4 deals with frequency-domain linearity and Gaussianity test statistics. The alternative hypothesis only states that the DGP is nonlinear, not specifying the type of nonlinearity. Only nonparametrics tests are considered. Chapter 5 considers statistics testing the null hypothesis that a time series is generated by a linear process against a pre-chosen particular nonlinear alternative. Chapter 6 focuses on quasi maximum likelihood estimation, nonlinear least squares (NLS) estimation, and conditional linear square estimation methods within the framework of identifiable parametric stochastic models \[ Y_{t}=g\left( Y_{t-1},\dots ,Y_{t-p},\varepsilon _{t-1},\dots ,\varepsilon _{t-q};\theta _{g}\right) +\eta _{t} \] where \[ \eta _{t}=\left( h\left( Y_{t-1},\dots ,Y_{t-u},\varepsilon _{t-1},\dots ,\varepsilon _{t-v};\theta _{h}\right) \right) ^{1/2}\varepsilon _{t}\text{.} \] Here \(\{Y_{t},t\in\mathbb{Z}\}\) is a strictly stationary and ergodic univariate stochastic process; \(g(\theta _{g})\) and \(h(\theta _{h})\) are two real-valued measurable (known) functions on \(\mathbb{R}^{p+q}\) and \(\mathbb{R}^{u+v}\) \((u\leq p)\), respectively; and \(\theta =\left( \theta _{g}^{\prime },\theta _{h}^{\prime }\right) ^{\prime }\) is a vector of unknown parameters to be estimated from observations \(\left\{ Y_{t},t=1,\dots ,T\right\} \). Chapter 7 considers both historic and more recent work in the area of nonparametric serial independence tests for conditional mean models. Chapter 8 is titled ``Time-reversibility (TR). A stochastic process is said to be time-reversible if its probabilistic structure is unaffected by reversing (``mirroring) the direction of time. This chapter gives a brief overview of some of the major developments in this area. Chapter 9 is focused on some methods available for semi- and nonparametric time series forecasting. Chapter 10 covers several important issues related to forecasting from parametric nonlinear models. About the chapter the author says ``the chapter may well serve as a starting point for anyone who intends to do empirical work. Chapter 11 extends the univariate nonlinear parametric time series framework to multiple, related time series exhibiting nonlinear behavior. In Chapter 12, various aspects related to data-driven estimation and forecasting methods are discussed, as well as to the detection of dependence structures and interrelationships in multivariate time series. In addition, three semiparametric multivariate regression methods are considered. Issues such as stationarity, ergodicity, and variable selection of the fitted semiparametric models are still largely open for research. The book is a good text for researchers and advanced undergraduate and graduate students of several disciplines, among others, mathematical statistics, engineering, and economy. For the scientific quality of its content I do not exaggerate if I consider this book as a treasure.
- Theory and application of nonlinear time series analysis
- Nonlinear time series. Nonparametric and parametric methods
- The integrated copula spectrum
- Comparative analysis of robust and classical methods for estimating the parameters of a threshold autoregression equation
- Nonlinear time series. Theory, methods and applications with R examples
- A multi-step kernel–based regression estimator that adapts to error distributions of unknown form
- On operator fractional Lévy motion: integral representations and time-reversibility
- Bootstrap confidence intervals for conditional density function in Markov processes
- Adaptive test for periodicity in restrictive EXPAR(p) models
- Self-weighted LAD-based inference for heavy-tailed continuous threshold autoregressive models
- Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models
- A generalized Burr mixture autoregressive models for modeling non linear time series
- Existence of a periodic and seasonal INAR process
- On buffered moving average models
- Emulated order identification for models of big time series data
- An example for application of the simple equations method for the case of use of two simple equations
- Multivariate threshold integer-valued autoregressive processes with explanatory variables
- Another approach for the asymptotic properties of threshold vector ARMA models
- Extracting knowledge from time series. An introduction to nonlinear empirical modeling
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