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Threshold Models in Non-linear Time Series Analysis

  • Howell Tong

Part of the Lecture Notes in Statistics book series (LNS, volume 21)

Table of contents

  1. Front Matter
    Pages i-x
  2. Howell Tong
    Pages 1-33
  3. Howell Tong
    Pages 34-58
  4. Howell Tong
    Pages 59-121
  5. Howell Tong
    Pages 122-162
  6. Howell Tong
    Pages 163-279
  7. Back Matter
    Pages 280-323

About this book

Introduction

In the last two years or so, I was most fortunate in being given opportunities of lecturing on a new methodology to a variety of audiences in Britain, China, Finland, France and Spain. Despite my almost Confucian attitude of preferring talking (i.e. a transient record) to writing (i.e. a permanent record), the warm encouragement of friends has led to the ensuing notes. I am also only too conscious of the infancy of the methodology introduced in these notes. However, it is my sincere hope that exposure to a wider audience will accelerate its maturity. Readers are assumed to be familiar with the basic theory of time series analysis. The book by Professor M.B. Priestley (1981) may be used as a general reference. Chapter One is addressed to the general question: "why do we need non-linear time series models?" After describing some significant advantages of linear models, it singles out several major limitations of linearity. Of course, the selection reflects my personal view on the subject, which is only at its very beginning, although there does seem to be a general agreement in the literature that time irr'eversibility and limit cycles are among the most obvious.

Keywords

Series Spektralanalyse Time Time series Zeitreihenanalyse ergodicity

Authors and affiliations

  • Howell Tong
    • 1
  1. 1.Department of StatisticsThe Chinese University of Hong KongShatin, NTHong Kong

Bibliographic information

  • DOI https://doi.org/10.1007/978-1-4684-7888-4
  • Copyright Information Springer-Verlag New York 1983
  • Publisher Name Springer, New York, NY
  • eBook Packages Springer Book Archive
  • Print ISBN 978-0-387-90918-9
  • Online ISBN 978-1-4684-7888-4
  • Series Print ISSN 0930-0325
  • Buy this book on publisher's site
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