Nonlinear time series analysis since 1990: Some personal reflections

DOI10.1007/S102550200017MaRDI QIDQ1862924zbMATH OpenOpenAlexFDO

Authors Howel Tong

Publication date 2 September 2003

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s102550200017

zbMATH Keywords

chaosdynamical systemsfinancial time seriespanel of time seriestime series analysis

Mathematics Subject Classification ID

General histories, source books (01A05) History of dynamical systems and ergodic theory (37-03) Time series analysis of dynamical systems (37M10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Review text

The author reflects upon the developments of the nonlinear time series analysis since 1990 focusing on the following five directions which he believes are the most promising: the interface between the nonlinear time series analysis and chaos, the nonparametric and semiparametric approach, nonlinear state space modeling, nonlinear modeling of panels of time series, and financial series in both discrete and continuous time. The author finishes the paper by predicting even faster and exciting developments of the subject in the next twenty years.

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Cites work

• A Kolmogorov-Smirnov Type Statistic with Application to Test for Nonlinearity in Time Series
• A note on the equivalence of two approaches for specifying a Markov process
• An Adaptive Estimation of Dimension Reduction Space
• Chaos: A statistical perspective
• scientific article; zbMATH DE number 991833 (Why is no real title available?)
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 646819 (Why is no real title available?)
• scientific article; zbMATH DE number 1820665 (Why is no real title available?)
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Nonlinear and nonstationary signal processing
• Nonlinear time series. Nonparametric and parametric methods
• NONPARAMETRIC ESTIMATORS FOR TIME SERIES
• Sampling-Based Approaches to Calculating Marginal Densities
• Smoothness priors analysis of time series
• The Current Position of Statistics: A Personal View
• Time series analysis by state space methods

Cited in

(3)

• scientific article; zbMATH DE number 464601 (Why is no real title available?)
• Exponential decay of correlations for a real-valued dynamical system embedded in \(\mathbb{R}^2\)
• On stochastic dynamic modeling of incidence data

Describes a project that uses

Uses Software

• FinTS

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