Stochastic models for time series
Time series analysis of dynamical systems (37M10) Stationary stochastic processes (60G10) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Inference from stochastic processes and prediction (62M20)
This book deals with different aspects of linear and nonlinear time series analysis. The book is divided into 12 chapters. The purpose of Chapters 1--4 is to introduce some underlying framework and machinery to form a base for the development of stochastic models for time series. Chapter 5 focuses on Gaussian chaos. Chapter 6 deals with linear processes. Chapter 7 focuses on nonlinear processes (Volterra expansions, Appell polynomials, bilinear models, ARCH-type models). Chapter 8 deals with associated processes (mathematical inequalities and limit theorems). Chapter 9 deals with dependence and ergodic theorems. The long-range dependence and related problems are discussed in Chapter 10, while short-range dependence and related limit theorems are given in Chapter 11. Chapter 12 deals with moments, cumulants and related inequalities. The book is well written and mathematically rigorous. The author is certainly one of the best specialists in the field worldwide. He has collected a large variety of results. To date there is no book like this. It may become the standard reference for researchers working on the topic. In summary, this is a very useful book for a researcher in probability and stochastic processes, which can also be used for under- and post-graduate courses.
- Time Series Models
- SOME DOUBLY STOCHASTIC TIME SERIES MODELS
- Publication:4723036
- Inference for time series and stochastic processes
- Stochastic models for forecasting
- Models for dependent time series
- scientific article; zbMATH DE number 218841
- Time series. Modeling, computation, and inference
- Stochastic fm models and non-linear time series analysis
- Examples of analysis of stochastic processes based on time series data
- Mixing properties of non-stationary INGARCH(1, 1) processes
- Convergence rate bounds for iterative random functions using one-shot coupling
- Exponential inequalities for nonstationary Markov chains
- High-dimensional VAR with low-rank transition
- Berry-Esseen bounds in the Breuer-major CLT and Gebelein's inequality
- Nonlinear time series. Theory, methods and applications with R examples
- scientific article; zbMATH DE number 3883453 (Why is no real title available?)
- scientific article; zbMATH DE number 4036982 (Why is no real title available?)
- scientific article; zbMATH DE number 48093 (Why is no real title available?)
- scientific article; zbMATH DE number 4124842 (Why is no real title available?)
- Series Representation of Time-Stable Stochastic Processes
- Weak convergence for stationary bootstrap empirical processes of associated sequences
- A Dynamic Taylor’s law
- Probabilistic and statistical tools for modeling time series. Paper from the 30th Brazilian mathematics colloquium -- 30\(^{\text o}\) Colóquio Brasileiro de Matemática, Rio de Janeiro, Brazil, July 26--31, 2015
- Stochastic modelling of length of day and universal time
- Asymptotic distribution of the wavelet-based estimators of multivariate regression functions under weak dependence
- Stationarity and ergodic properties for some observation-driven models in random environments
- The Bahadur representation for empirical and smooth quantile estimators under association
- Efficient non parametric spectral density estimation with censored observations
- Spike detection for calcium activity
- Generalized nonparametric asymmetric kernel regression estimator with responses missing for nonnegative stationary and ergodic data
- Deviation inequalities for contractive infinite memory processes
- On non parametric kernel estimation of the mode of the regression function in the strong mixing random design model with censored data
- On QML-estimation of multivariate constant conditional correlation hyperbolic GARCH models
- Regression estimation for continuous-time functional data processes with missing at random response
- The Breuer-Major theorem in total variation: improved rates under minimal regularity
- Bahadur-Kiefer theory for empirical and smoothed quantiles with censored associated data
This page was built for publication: Stochastic models for time series
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1753980)
