Non-Linear Time Series

DOI10.1007/978-3-319-07028-5MaRDI QIDQ2924864zbMATH OpenOpenAlexWikidataFDO

Authors P. de Zea Bermudes, Feridun Turkman, Manuel G. Scotto

Publication date 17 October 2014

Full work available at URL https://doi.org/10.1007/978-3-319-07028-5

zbMATH Keywords

heavy tailsstate space modelsLyapunov exponentslimit cyclestime reversibilityinvertibilityoptimal predictionparametric modelsinference for nonlinear modelsinteger-values models

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01)

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Cited in

(19)

• Copula-based Markov models for time series. Parametric inference and process control
• scientific article; zbMATH DE number 6739318 (Why is no real title available?)
• Self-exciting threshold binomial autoregressive processes
• First-order binomial autoregressive processes with Markov-switching coefficients
• Bivariate zero truncated Poisson INAR(1) process
• The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
• Monitoring parameter shift with Poisson integer-valued GARCH models
• Fluctuations and precise deviations of cumulative INAR time series
• Nonlinear time series. Theory, methods and applications with R examples
• On the extremes of the max-INAR(1) process for time series of counts
• How books tell a history of statistics in Portugal: works of foreigners, \textit{estrangeirados}, and others
• On simultaneous limits for aggregation of stationary randomized INAR(1) processes with Poisson innovations
• Non-Gaussian autoregressive-type time series
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• On the theory of periodic multivariate INAR processes
• Stochastic properties of spatial and spatiotemporal ARCH models
• Thinning-based models in the analysis of integer-valued time series: a review
• On the adaptive Lasso estimator of AR(p) time series with applications to INAR(p) and Hawkes processes
• Elements of nonlinear time series analysis and forecasting

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