Nonlinear time series: non parametric and parametric methods /
Jianqing Fan, Qiwei Yao.
- New York : Springer, c2003.
- xix, 551 p. : ill. ; 24 cm.
- Springer series in statistics .
Includes bibliographical references (p. [487]-536) and index.
Introduction * Characteristics of Time Series * ARMA Modeling and Forecasting * Parametric Nonlinear Time Series Models * Nonparametric Density Estimation * Smoothing in Time Series * Spectral Density Estimation and Its Applications * Nonparametric Models * Model Validation * Nonlinear Prediction