Nonlinear time series. Nonparametric and parametric methods
This is a book on (modern) time series analysis, covering standard linear models, and nonlinear models, with emphasis on the latter. The approach is stated in the Preface; for each model the authors provide definitions, probability properties, statistical inference methods, numerical examples and computing considerations. Both parametric and nonparametric procedures are covered. No sophisticated mathematical details are required from the reader. The contents of the book are wide, and a short view is provided in Chapter 1. Linear models (i.e., ARMA models) are presented with little detail. Then procedures are given of the following topics: (1) Nonlinear time series models: ARCH (autoregressive conditional heteroscedastic) and generalized ARCH, GARCH, TAR (threshold autoregressive), NARCH (nonparametric autoregressive conditional heteroscedastic) and NAR (nonparametric autoregressive). (2) Local and global approximations: local linear modeling, global spline approximation, and goodness of fit tests. These and related topics are covered in the book. After two preparatory chapters (2 and 3) we find chapters on parametric nonlinear time series models, nonparametric density estimation, smoothing, spectral density estimation, nonparametric models, model validation, and nonlinear predictions. Six numerical illustrations are presented in Chapter 1, and analyzed in other chapters. Simulated series are also used. In some chapters a section of ``complements collects proofs and mathematical details. Bibliographical notes are added to each chapter, but no exercises. In summary, the authors present a useful collection of nonlinear time series models, many of which are treated in the contemporary literature. The interested reader will find a wealth of procedures and suggestions for implementation.
- Nonparametric regression estimation with general parametric error covariance
- An asymptotic theory for sample covariances of Bernoulli shifts
- Estimating multivariate ARCH parameters by two-stage least-squares method
- Consistency of support vector machines for forecasting the evolution of an unknown ergodic dynamical system from observations with unknown noise
- Towards identification of Wiener systems with the least amount of a priori information: IIR cases
- Forecasting time series using principal component analysis with respect to instrumental variables
- Nonparametric conditional hazard rate estimation: a local linear approach
- Estimation of autoregressive models with epsilon-skew-normal innovations
- Testing diffusion processes for non-stationarity
- Local linear regression for data with AR errors
- Approximating conditional density functions using dimension reduction
- Estimation of trend in state-space models: asymptotic mean square error and rate of convergence
- Specification testing in nonlinear and nonstationary time series autoregression
- Efficient estimation of copula-based semiparametric Markov models
- On nonparametric and semiparametric testing for multivariate linear time series
- Using threshold autoregressive models to study dyadic interactions
- A constructive approach to the estimation of dimension reduction directions
- Examining deterrence of adult sex crimes: a semi-parametric intervention time-series approach
- On wavelet-based testing for serial correlation of unknown form using Fan's adaptive Neyman method
- Theoretical and practical aspects of the quadratic error in the local linear estimation of the conditional density for functional data
- The univariate MT-STAR model and a new linearity and unit root test procedure
- Glivenko-Cantelli theorem for the kernel error distribution estimator in the first-order autoregressive model
- Asymptotic distribution-free tests for semiparametric regressions with dependent data
- Nearest neighbor estimates of regression
- Time-varying quantile single-index model for multivariate responses
- Confidence regions for entries of a large precision matrix
- Conditional independence graph for nonlinear time series and its application to international financial markets
- Forecasting in nonlinear univariate time series using penalized splines
- Data-based stochastic model reduction for the Kuramoto-Sivashinsky equation
- A weighted estimator of conditional hazard rate with left-truncated and dependent data
- Nonparametric estimation of a scalar diffusion model from discrete time data: a survey
- Estimated conditional score function for missing mechanism model with nonignorable nonresponse
- Conditional density estimation using the local Gaussian correlation
- Asymptotic properties of wavelet estimators in partially linear errors-in-variables models with long-memory errors
- Fault prediction for nonlinear system using sliding ARMA combined with online LS-SVR
- Empirical likelihood inference for functional coefficient ARCH-M model
- Banded spatio-temporal autoregressions
- Factor models for matrix-valued high-dimensional time series
- Variable selection for spatial semivarying coefficient models
- Local polynomial estimation of a conditional mean function with dependent truncated data
- Statistical estimation of parameters for binary conditionally nonlinear autoregressive time series
- Implied volatility and state price density estimation: arbitrage analysis
- Nonparametric regression with multiple thresholds: estimation and inference
- Recursive identification of systems with binary-valued outputs and with ARMA noises
- Two-step estimation of time-varying additive model for locally stationary time series
- Nonlinear time series analysis since 1990: Some personal reflections
- Nonlinear Poisson autoregression
- Bayesian multi-regime smooth transition regression with ordered categorical variables
- Identification of Wiener, Hammerstein, and NARX systems as Markov chains with improved estimates for their nonlinearities
- Nonparametric quantile regression with heavy-tailed and strongly dependent errors
- Some recent theory for autoregressive count time series
- Inference for modulated stationary processes
- Deviation inequalities and moderate deviations for estimators of parameters in TAR models
- Semiparametric regression during 2003--2007
- Weighted resampling of martingale difference arrays with applications
- Nonparametric conditional variance and error density estimation in regression models with dependent errors and predictors
- A scalar dynamic conditional correlation model: structure and estimation
- Wavelet-M-estimation for time-varying coefficient time series models
- A two-sample test for the equality of univariate marginal distributions for high-dimensional data
- Nonparametric estimation of large covariance matrices with conditional sparsity
- Wavelet estimation in heteroscedastic regression models with \(\alpha\)-mixing random errors
- Learning sparse conditional distribution: an efficient kernel-based approach
- Statistical inference for single-index-driven varying-coefficient time series model with explanatory variables
- A nonparametric estimation of the conditional ageing intensity function in censored data: a local linear approach
- Estimating change-point latent factor models for high-dimensional time series
- Pseudo-maximum likelihood estimators in linear regression models with fractional time series
- Asymptotics for \(L_1\)-wavelet method for nonparametric regression
- Asymptotic normality of the relative error regression function estimator for censored and time series data
- Spatio-temporal expanding distance asymptotic framework for locally stationary processes
- Asymptotic analysis of synchrosqueezing transform -- toward statistical inference with nonlinear-type time-frequency analysis
- Conditional rotation between forecasting models
- Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence
- Data-driven model reduction, Wiener projections, and the Koopman-Mori-Zwanzig formalism
- Rank determination in tensor factor model
- Penalized estimation of threshold auto-regressive models with many components and thresholds
- A semiparametric approach for modeling partially linear autoregressive model with skew normal innovations
- Spatial quantile estimation of multivariate threshold time series models
- Nonparametric mean-lower partial moment model and enhanced index investment
- Nonparametric regression for locally stationary functional time series
- Global temperatures and greenhouse gases: a common features approach
- Testing equality of a large number of densities under mixing conditions
- Sparsely observed functional time series: estimation and prediction
- Nonconcave penalized estimation in sparse vector autoregression model
- Asymptotics of estimators for nonparametric multivariate regression models with long memory
- Consistent nonparametric change point detection combining CUSUM and marked empirical processes
- Estimation of a multiplicative correlation structure in the large dimensional case
- A manifold learning approach to dimensionality reduction for modeling data
- Maximum independent component analysis with application to EEG data
- Heterogeneous panel data models with cross-sectional dependence
- Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff
- Inference of local regression in the presence of nuisance parameters
- Bootstrap prediction in univariate volatility models with leverage effect
- Recursive estimation in large panel data models: theory and practice
- Estimating FARIMA models with uncorrelated but non-independent error terms
- Nonparametric local linear estimation of the relative error regression function for twice censored data
- Optimal portfolio decision rule under nonparametric characterization of the interest rate dynamics
- Specification test for Markov models with measurement errors
- On the local linear modelization of the conditional distribution for functional data
- Estimating a density under pointwise constraints on the derivatives
- A robust test for mean change in dependent observations
This page was built for publication: Nonlinear time series. Nonparametric and parametric methods
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1866762)
