A nonlinear time series workshop : a toolkit for detecting and identifying nonlinear serial dependence /
The complex dynamic behavior exhibited by many nonlinear systems - chaos, episodic volatility bursts, stochastic regimes switching - has attracted a good deal of attention in recent years. A Nonlinear Time Series Workshop provides the reader with both the statistical background and the software tool...
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| Format: | eBook |
| Language: | English |
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Boston, Mass. :
Springer,
[2000]
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| Series: | Dynamic modeling and econometrics in economics and finance ;
v. 2. |
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| Online Access: | Connect to the full text of this electronic book |
| Summary: | The complex dynamic behavior exhibited by many nonlinear systems - chaos, episodic volatility bursts, stochastic regimes switching - has attracted a good deal of attention in recent years. A Nonlinear Time Series Workshop provides the reader with both the statistical background and the software tools necessary for detecting nonlinear behavior in time series data. The most useful existing detection techniques are described, including Engle's LaGrange Multiplier test for conditional hetero-skedasticity and tests based on the correlation dimension and on the estimated bispectrum. These techniques are illustrated using actual data from fields such as economics, finance, engineering, and geophysics. |
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| Item Description: | Electronic resource. |
| Physical Description: | 1 online resource (ix, 200 pages :) : illustrations |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: | 9781441986887 (electronic bk.) 144198688X (electronic bk.) |