By Randal Douc,Eric Moulines,David Stoffer

Designed for researchers and scholars, Nonlinear instances sequence: concept, tools and functions with R Examples familiarizes readers with the rules at the back of nonlinear time sequence models—without overwhelming them with tough mathematical advancements. through targeting uncomplicated ideas and thought, the authors supply readers the heritage required to craft their very own stochastic types, numerical equipment, and software program. they'll even be in a position to examine the benefits and downsides of other ways, and hence have the capacity to decide on the correct equipment for his or her purposes.



The first half should be noticeable as a crash direction on "classical" time sequence, with a unique emphasis on linear nation house versions and specific assurance of random coefficient autoregressions, either ARCH and GARCH types. the second one half introduces Markov chains, discussing balance, the life of a desk bound distribution, ergodicity, restrict theorems, and statistical inference. The ebook concludes with a self-contained account on nonlinear country house and sequential Monte Carlo tools. An basic advent to nonlinear nation house modeling and sequential Monte Carlo, this part touches on present issues, from the idea of statistical inference to complicated computational equipment.



The ebook can be utilized as a aid to a complicated direction on those equipment, or an creation to this box ahead of learning extra really expert texts. a number of chapters spotlight contemporary advancements corresponding to particular price of convergence of Markov chains and sequential Monte Carlo thoughts. And whereas the chapters are geared up in a logical development, the 3 elements may be studied independently.



Statistics isn't a spectator game, so the ebook includes greater than two hundred workouts to problem readers. those difficulties boost highbrow muscular tissues strained via the creation of recent concept and cross directly to expand the idea in major methods. The booklet is helping readers hone their abilities in nonlinear time sequence research and their applications.

Show description

Read or Download Nonlinear Time Series: Theory, Methods and Applications with R Examples (Chapman & Hall/CRC Texts in Statistical Science) PDF

Best probability & statistics books

Fundamentals of Queueing Networks: Performance, Asymptotics, and Optimization (Stochastic Modelling and Applied Probability)

This obtainable booklet goals to gather in one quantity the necessities of stochastic networks. Stochastic networks became commonplace as a easy version of many actual structures in a various diversity of fields. Written via prime authors within the box, this publication is intended for use as a reference or supplementary interpreting via practitioners in operations examine, desktops, communications networks, construction making plans, and logistics.

Problems in Probability (Problem Books in Mathematics)

For the 1st variants of the booklet chance (GTM 95), each one bankruptcy incorporated a complete and numerous set of correct workouts. whereas the paintings at the 3rd variation used to be nonetheless in development, it was once made up our minds that it'd be extra acceptable to put up a separate e-book that may contain all the workouts from prior editions, in addition to many new workouts.

Matching, Regression Discontinuity, Difference in Differences, and Beyond

Myoung-jae Lee studies the 3 hottest equipment (and their extensions) in utilized economics and different social sciences: matching, regression discontinuity, and distinction in variations. This e-book introduces the underlying econometric and statistical rules, exhibits what's pointed out and the way the pointed out parameters are expected, and illustrates how they're utilized with actual empirical examples.

Using the R Commander: A Point-and-Click Interface for R (Chapman & Hall/CRC The R Series)

This publication offers a basic creation to the R Commander graphical person interface (GUI) to R for readers who're strange with R. it's compatible to be used as a supplementary textual content in a uncomplicated or intermediate-level records path. it isn't meant to exchange a easy or different information textual content yet really to counterpoint it, even though it does advertise sound statistical perform within the examples.

Additional resources for Nonlinear Time Series: Theory, Methods and Applications with R Examples (Chapman & Hall/CRC Texts in Statistical Science)

Sample text

Download PDF sample

Rated 4.44 of 5 – based on 38 votes