Nonlinear Time Series Analysis
暫譯: 非線性時間序列分析

Tsay, Ruey S., Chen, Rong

Nonlinear Time Series Analysis
  • 出版商: Wiley
  • 出版日期: 2018-10-23
  • 售價: $4,680
  • 貴賓價: 9.5 折 $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)

一本全面的資源，平衡非線性時間序列分析的理論與應用

非線性時間序列分析 提供了對於參數法和非參數法、非線性狀態空間模型，以及貝葉斯和經典方法在非線性時間序列分析中的重要指導。作者們是該領域的知名專家，探討了非線性模型和方法的優勢與限制，並回顧了對線性時間序列模型的改進。

本書的需求基於最近在非線性時間序列分析、統計學習、動態系統和先進計算方法方面的發展。參數法和非參數法以及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型數據集和高頻數據變得可用。這些新數據不僅使考慮大多數現實世界時間序列中嵌入的非線性變得可行，還使其變得必要。這本重要的指南：

- 提供由時間序列分析領域的領先學者所開發的研究

- 提供 R 命令，使得能夠重現文本中包含的所有分析

- 全書包含現實世界的例子

- 建議練習以測試對所呈現材料的理解

- 包含教師解答手冊和伴隨網站

本書是為對探索時間序列中的非線性感興趣的學生、研究人員和實務工作者所撰寫，非線性時間序列分析 提供了一本全面的文本，探討非線性模型和方法的優勢與限制，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.亞歷山大計量經濟學與統計學教授。他是美國統計協會和數學統計學會的會士。蔡博士是《金融時間序列分析》、《多變量時間序列分析》和《使用R進行金融數據分析導論》的作者，這些書籍均由Wiley出版。

陳榮博士是羅格斯大學的傑出統計學教授，並擔任金融統計與風險管理碩士課程及數據科學碩士課程的主任。他是美國統計協會和數學統計學會的會士。

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