Nonlinear Times Series: A Second Course in Time Series Analysis Eric Moulines

ISBN: 9781466502253

Published: February 26th 2014

Hardcover

400 pages


Description

Nonlinear Times Series: A Second Course in Time Series Analysis  by  Eric Moulines

Nonlinear Times Series: A Second Course in Time Series Analysis by Eric Moulines
February 26th 2014 | Hardcover | PDF, EPUB, FB2, DjVu, audiobook, mp3, ZIP | 400 pages | ISBN: 9781466502253 | 7.31 Mb

This text emphasizes nonlinear models for a course in time series analysis. After introducing stochastic processes, Markov chains, Poisson processes, and ARMA models, the authors cover functional autoregressive, ARCH, threshold AR, and discrete timeMoreThis text emphasizes nonlinear models for a course in time series analysis. After introducing stochastic processes, Markov chains, Poisson processes, and ARMA models, the authors cover functional autoregressive, ARCH, threshold AR, and discrete time series models as well as several complementary approaches.

They discuss the main limit theorems for Markov chains, useful inequalities, statistical techniques to infer model parameters, and GLMs. Moving on to HMM models, the book examines filtering and smoothing, parametric and nonparametric inference, advanced particle filtering, and numerical methods for inference.



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