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Springer Series in Statistics

Elements of Nonlinear Time Series Analysis and Forecasting

Authors: De Gooijer, Jan G.

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  • Presents a detailed, almost encyclopedic account of nonlinear time series analysis
  • Shows concrete applications of modern nonlinear time series analysis on a variety of empirical time series, with a liberal use of color graphics
  • Provides a toolbox of discrete-time nonlinear models, methods, tests and concepts
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eBook 107,09 €
price for Spain (gross)
  • ISBN 978-3-319-43252-6
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover 135,19 €
price for Spain (gross)
  • ISBN 978-3-319-43251-9
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
Softcover 135,19 €
price for Spain (gross)
  • ISBN 978-3-319-82770-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
About this book

This book provides an overview of the current state-of-the-art of nonlinear time series analysis, richly illustrated with examples, pseudocode algorithms and real-world applications. Avoiding a “theorem-proof” format, it shows concrete applications on a variety of empirical time series. The book can be used in graduate courses in nonlinear time series and at the same time also includes interesting material for more advanced readers. Though it is largely self-contained, readers require an understanding of basic linear time series concepts, Markov chains and Monte Carlo simulation methods.

The book covers time-domain and frequency-domain methods for the analysis of both univariate and multivariate (vector) time series. It makes a clear distinction between parametric models on the one hand, and semi- and nonparametric models/methods on the other. This offers the reader the option of concentrating exclusively on one of these nonlinear time series analysis methods.

To make the book as user friendly as possible, major supporting concepts and specialized tables are appended at the end of every chapter. In addition, each chapter concludes with a set of key terms and concepts, as well as a summary of the main findings. Lastly, the book offers numerous theoretical and empirical exercises, with answers provided by the author in an extensive solutions manual.

 

About the authors

Jan G. De Gooijer is Emeritus Professor of Economic Statistics at the University of Amsterdam. He completed an M.Sc. degree in mathematical statistics at Delft Technical University and a Ph.D. in economics at the Vrije Universiteit (“Free University”) Amsterdam. He has (co-)authored over 100 publications on forecasting, time series analysis, econometrics, and statistics. Jan has been Associate Editor, Editor and Editor-in-Chief of The International Journal of Forecasting, Associate Editor of the Journal of Forecasting, and he has served on the editorial board of Empirical Economics. He is an elected member of the International Statistical Institute, and an Honorary Fellow of the International Institute of Forecasters. He has held visiting professor positions at the Universities of Umeå (Sweden), British Columbia (Canada) and Montpellier II (France), as well as Royal Holloway College (London, UK).  

Reviews

 “The book describes main statistical procedures used in modern nonlinear time series analysis. … Each chapter ends with a section containing various exercises, both theoretical and simulation, which makes the book suitable for a graduate course in nonlinear time series. Each chapter also contains a section with useful information about the existing software (mainly in MATLAB and R) related to the topic of the chapter.” (Vytautas Kazakevičius, Mathematical Reviews, January, 2018)
“This is an excellent addition to the library of books on time series analysis. The most attractive feature of this book is that it places importance on developing intuition about nonlinear time series rather than the more formal theorem-proof approach. It is abundant with data examples and simulations that enhance understanding of the stochastic properties of the models. In my opinion, the approach taken is the best pedagogical technique to learn about time series models.” (Hernando Ombao, Journal of the American Statistical Association JASA, Vol. 113 (522), 2018)

“For the scientific quality of its content I do not exaggerate if I consider this book as a treasure.” (Oscar Busto, zbMATH 1376.62001, 2018)


 

Table of contents (12 chapters)

Table of contents (12 chapters)

Buy this book

eBook 107,09 €
price for Spain (gross)
  • ISBN 978-3-319-43252-6
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover 135,19 €
price for Spain (gross)
  • ISBN 978-3-319-43251-9
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
Softcover 135,19 €
price for Spain (gross)
  • ISBN 978-3-319-82770-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
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Bibliographic Information

Bibliographic Information
Book Title
Elements of Nonlinear Time Series Analysis and Forecasting
Authors
Series Title
Springer Series in Statistics
Copyright
2017
Publisher
Springer International Publishing
Copyright Holder
Springer International Publishing Switzerland
eBook ISBN
978-3-319-43252-6
DOI
10.1007/978-3-319-43252-6
Hardcover ISBN
978-3-319-43251-9
Softcover ISBN
978-3-319-82770-4
Series ISSN
0172-7397
Edition Number
1
Number of Pages
XXI, 618
Number of Illustrations
95 illustrations in colour
Topics