Nonlinear Time Series: Semiparametric and Nonparametric Methods, 1st Edition (Paperback) book cover

Nonlinear Time Series

Semiparametric and Nonparametric Methods, 1st Edition

By Jiti Gao

Chapman and Hall/CRC

237 pages

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Description

Useful in the theoretical and empirical analysis of nonlinear time series data, semiparametric methods have received extensive attention in the economics and statistics communities over the past twenty years. Recent studies show that semiparametric methods and models may be applied to solve dimensionality reduction problems arising from using fully nonparametric models and methods. Answering the call for an up-to-date overview of the latest developments in the field, Nonlinear Time Series: Semiparametric and Nonparametric Methods focuses on various semiparametric methods in model estimation, specification testing, and selection of time series data.

After a brief introduction, the book examines semiparametric estimation and specification methods and then applies these approaches to a class of nonlinear continuous-time models with real-world data. It also assesses some newly proposed semiparametric estimation procedures for time series data with long-range dependence. Even though the book only deals with climatological and financial data, the estimation and specifications methods discussed can be applied to models with real-world data in many disciplines.

This resource covers key methods in time series analysis and provides the necessary theoretical details. The latest applied finance and financial econometrics results and applications presented in the book enable researchers and graduate students to keep abreast of developments in the field.

Table of Contents

Introduction. Estimation in Nonlinear Time Series. Nonlinear Time Series Specification. Model Selection in Nonlinear Time Series. Continuous-Time Diffusion Models. Long-Range Dependent Time Series. Appendix. References. Indices.

About the Author

Gao, Jiti

About the Series

Chapman & Hall/CRC Monographs on Statistics and Applied Probability

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Subject Categories

BISAC Subject Codes/Headings:
MAT029000
MATHEMATICS / Probability & Statistics / General