Nonlinear Time Series: Theory, Methods and Applications with R Examples by Eric

Description: Nonlinear Time Series by Eric Moulines, Randal Douc, David Stoffer Designed for researchers and students, Nonlinear Times Series: Theory, Methods and Applications with R Examples familiarizes readers with the principles behind nonlinear time series models—without overwhelming them with difficult mathematical developments. By focusing on basic principles and theory, the authors give readers the background required to craft their own stochastic models, numerical methods, and software. They will also be able to assess the advantages and disadvantages of different approaches, and thus be able to choose the right methods for their purposes.The first part can be seen as a crash course on "classical" time series, with a special emphasis on linear state space models and detailed coverage of random coefficient autoregressions, both ARCH and GARCH models. The second part introduces Markov chains, discussing stability, the existence of a stationary distribution, ergodicity, limit theorems, and statistical inference. The book concludes with a self-contained account on nonlinear state space and sequential Monte Carlo methods. An elementary introduction to nonlinear state space modeling and sequential Monte Carlo, this section touches on current topics, from the theory of statistical inference to advanced computational methods. The book can be used as a support to an advanced course on these methods, or an introduction to this field before studying more specialized texts. Several chapters highlight recent developments such as explicit rate of convergence of Markov chains and sequential Monte Carlo techniques. And while the chapters are organized in a logical progression, the three parts can be studied independently. Statistics is not a spectator sport, so the book contains more than 200 exercises to challenge readers. These problems strengthen intellectual muscles strained by the introduction of new theory and go on to extend the theory in significant ways. The book helps readers hone their skills in nonlinear time series analysis and their applications. FORMAT Hardcover LANGUAGE English CONDITION Brand New Author Biography Randal Douc, Eric Moulines, David Stoffer Table of Contents Preliminaries. Markov and Iterative Models: Nonlinear Markovian Models. Stability, Recurrence, Mixing. Ergodicity, Limit Theorems. Parametric Inference. Nonparametric Inference. Hidden Markov Models: Some HMM Models. Filtering and Smoothing in HMM. Parametric Inference for HMM. Nonparametric Inference for HMM. Particle Filtering Basics. Advanced Issues in Particle Filtering. Particle Smoothing Basics. Numerical Methods for Inference. Review "This book is very suitable for mathematicians requiring a very rigorous and complete introduction to nonlinear time series and their applications in several fields."—Zentralblatt MATH 1306"This book focuses on theory and methods, with applications in mind. It is quite theory-heavy, with many rigorously established theoretical results.… It is also very timely and covers many recent developments in nonlinear time series analysis… readers can get a very up-to-date view of the current developments in nonlinear time series analysis from this book."—Journal of the American Statistical Association, December 2014"… the book will definitely help readers who are very mathematically inclined and keen on rigour and interested in further pursuing the probabilistic aspects of nonlinear time series. I have no doubt the book will be useful and timely, and I have no hesitation in recommending the book … ."—T. Subba Rao, Journal of Time Series Analysis, 2014"This book is very suitable for mathematicians requiring a very rigorous and complete introduction to nonlinear time series and their applications in several fields."—Zentralblatt MATH 1306"This book focuses on theory and methods, with applications in mind. It is quite theory-heavy, with many rigorously established theoretical results. …It is also very timely and covers many recent developments in nonlinear time series analysis… readers can get a very up-to-date view of the current developments in nonlinear time series analysis from this book."—Journal of the American Statistical Association, December 2014"… the book will definitely help readers who are very mathematically inclined and keen on rigour and interested in further pursuing the probabilistic aspects of nonlinear time series. I have no doubt the book will be useful and timely, and I have no hesitation in recommending the book … ."—T. Subba Rao, Journal of Time Series Analysis, 2014 Review Quote "This book is very suitable for mathematicians requiring a very rigorous and complete introduction to nonlinear time series and their applications in several fields." -- Zentralblatt MATH 1306 "This book focuses on theory and methods, with applications in mind. It is quite theory-heavy, with many rigorously established theoretical results. ...It is also very timely and covers many recent developments in nonlinear time series analysis... readers can get a very up-to-date view of the current developments in nonlinear time series analysis from this book." --Journal of the American Statistical Association, December 2014 "... the book will definitely help readers who are very mathematically inclined and keen on rigour and interested in further pursuing the probabilistic aspects of nonlinear time series. I have no doubt the book will be useful and timely, and I have no hesitation in recommending the book ... ." --T. Subba Rao, Journal of Time Series Analysis , 2014 Details ISBN1466502258 Author David Stoffer Series Chapman & Hall/CRC Texts in Statistical Science Language English ISBN-10 1466502258 ISBN-13 9781466502253 Media Book Format Hardcover DEWEY 519.55 Short Title NONLINEAR TIME SERIES Imprint CRC Press Inc Subtitle Theory, Methods and Applications with R Examples Place of Publication Bosa Roca Country of Publication United States Year 2014 AU Release Date 2014-01-06 NZ Release Date 2014-01-06 US Release Date 2014-01-06 UK Release Date 2014-01-06 Pages 552 Publisher Taylor & Francis Inc Publication Date 2014-01-06 Illustrations 50 Illustrations, black and white Audience Tertiary & Higher Education We've got this At The Nile, if you're looking for it, we've got it. With fast shipping, low prices, friendly service and well over a million items - you're bound to find what you want, at a price you'll love! TheNile_Item_ID:135169315;

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