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Non-Linear Time Series

Extreme Events and Integer Value Problems

  • Kamil Feridun Turkman
  • Manuel González Scotto
  • Patrícia de Zea Bermudez
Book

Table of contents

  1. Front Matter
    Pages i-xii
  2. Kamil Feridun Turkman, Manuel González Scotto, Patrícia de Zea Bermudez
    Pages 1-21
  3. Kamil Feridun Turkman, Manuel González Scotto, Patrícia de Zea Bermudez
    Pages 23-89
  4. Kamil Feridun Turkman, Manuel González Scotto, Patrícia de Zea Bermudez
    Pages 91-120
  5. Kamil Feridun Turkman, Manuel González Scotto, Patrícia de Zea Bermudez
    Pages 121-197
  6. Kamil Feridun Turkman, Manuel González Scotto, Patrícia de Zea Bermudez
    Pages 199-244
  7. Back Matter
    Pages 245-245

About this book

Introduction

This book offers a useful combination of probabilistic and statistical tools for analyzing nonlinear time series. Key features of the book include a study of the extremal behavior of nonlinear time series and a comprehensive list of nonlinear models that address different aspects of nonlinearity. Several inferential methods, including quasi likelihood methods, sequential Markov Chain Monte Carlo Methods and particle filters, are also included so as to provide an overall view of the available tools for parameter estimation for nonlinear models. A chapter on integer time series models based on several thinning operations, which brings together all recent advances made in this area, is also included.
Readers should have attended a prior course on linear time series, and a good grasp of simulation-based inferential methods is recommended. This book offers a valuable resource for second-year graduate students and researchers in statistics and other scientific areas who need a basic understanding of nonlinear time series.

Keywords

Extreme value theory Integer valued time series Non-linear time series

Authors and affiliations

  • Kamil Feridun Turkman
    • 1
  • Manuel González Scotto
    • 2
  • Patrícia de Zea Bermudez
    • 3
  1. 1.Departamento de Estatística e Investigação OperacionalUniversidade de Lisboa, Faculdade de CiênciasLisboaPortugal
  2. 2.Departamento de MatemáticaUniversidade de AveiroAveiroPortugal
  3. 3.Departamento de Estatística e Investigação OperacionalUniversidade de Lisboa, Faculdade de CiênciasLisboaPortugal

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