Nonlinear Time Series Analysis

Tsay, Ruey S., Chen, Rong

  • 出版商: Wiley
  • 出版日期: 2018-10-23
  • 定價: $4,680
  • 售價: 9.5$4,446
  • 語言: 英文
  • 頁數: 512
  • 裝訂: Hardcover - also called cloth, retail trade, or trade
  • ISBN: 1119264057
  • ISBN-13: 9781119264057
  • 立即出貨 (庫存=1)

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商品描述

A comprehensive resource that draws a balance between theory and applications of nonlinear time series analysis

Nonlinear Time Series Analysis offers an important guide to both parametric and nonparametric methods, nonlinear state-space models, and Bayesian as well as classical approaches to nonlinear time series analysis. The authors--noted experts in the field--explore the advantages and limitations of the nonlinear models and methods and review the improvements upon linear time series models.

The need for this book is based on the recent developments in nonlinear time series analysis, statistical learning, dynamic systems and advanced computational methods. Parametric and nonparametric methods and nonlinear and non-Gaussian state space models provide a much wider range of tools for time series analysis. In addition, advances in computing and data collection have made available large data sets and high-frequency data. These new data make it not only feasible, but also necessary to take into consideration the nonlinearity embedded in most real-world time series. This vital guide:

- Offers research developed by leading scholars of time series analysis

- Presents R commands making it possible to reproduce all the analyses included in the text

- Contains real-world examples throughout the book

- Recommends exercises to test understanding of material presented

- Includes an instructor solutions manual and companion website

Written for students, researchers, and practitioners who are interested in exploring nonlinearity in time series, Nonlinear Time Series Analysis offers a comprehensive text that explores the advantages and limitations of the nonlinear models and methods and demonstrates the improvements upon linear time series models.

商品描述(中文翻譯)

一本平衡理論與應用的非線性時間序列分析綜合資源

《非線性時間序列分析》是一本重要的指南,介紹了參數化和非參數化方法、非線性狀態空間模型,以及貝葉斯和傳統的非線性時間序列分析方法。作者是該領域的知名專家,探討了非線性模型和方法的優點和限制,並回顧了對線性時間序列模型的改進。

這本書的需求基於非線性時間序列分析、統計學習、動態系統和先進計算方法的最新發展。參數化和非參數化方法、非線性和非高斯狀態空間模型為時間序列分析提供了更廣泛的工具。此外,計算和數據收集的進步使得大數據集和高頻數據可用。這些新數據使得考慮到大多數現實世界時間序列中的非線性不僅是可行的,而且是必要的。這本重要的指南:

- 提供了領先的時間序列分析學者的研究成果
- 提供了R命令,可以重現書中包含的所有分析
- 書中包含了真實世界的例子
- 推薦練習以測試對所介紹材料的理解
- 包含教師解答手冊和配套網站

《非線性時間序列分析》針對對非線性時間序列感興趣的學生、研究人員和從業人員撰寫,提供了一本全面的教材,探討了非線性模型和方法的優點和限制,並展示了對線性時間序列模型的改進。

作者簡介

RUEY S. TSAY, PHD, is H.G.B. Alexander Professor of Econometrics and Statistics at The University of Chicago Booth School of Business. He is a fellow of the American Statistical Association and the Institute of Mathematical Statistics.Dr. Tsay is author of Analysis of Financial Time Series, Multivariate Time Series Analysis, and An Introduction to Analysis of Financial Data with R all published by Wiley.

RONG CHEN, PHD, is Distinguished Professor of Statistics and Director of the Master programs in Financial Statistics and Risk Management and in Data Science at Rutgers University. He is a fellow of the American Statistical Association and the Institute of Mathematical Statistics.

作者簡介(中文翻譯)

蔡瑞生博士是芝加哥大學布斯商學院的H.G.B. Alexander計量經濟學和統計學教授。他是美國統計學會和數學統計學會的會士。蔡博士是Wiley出版社的《金融時間序列分析》、《多變量時間序列分析》和《使用R進行金融數據分析入門》的作者。

陳榮博士是羅格斯大學統計學系的傑出教授,並擔任金融統計學和風險管理碩士課程以及數據科學碩士課程的主任。他是美國統計學會和數學統計學會的會士。