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Paperback
ISBN: 9780387988726
Number Of Pages: 270
Learn moreThe object of the present work is a systematic statistical analysis of bilinear processes in the frequency domain. The first two chapters are devoted to the basic theory of nonlinear functions of stationary Gaussian processes, Hermite polynomials, cumulants and higher order spectra, multiple Wiener-Itô integrals and finally chaotic Wiener-Itô spectral representation of subordinated processes. There are two chapters for general nonlinear time series problems.
| List of Figures | |
| Introduction | |
| Notation | |
| Foundations | p. 1 |
| The Multiple Wiener - Ito Integral | p. 33 |
| Stationary Bilinear Models | p. 63 |
| Non-Gaussian Estimation | p. 155 |
| Linearity Test | p. 177 |
| Some Applications | p. 197 |
| Moments | p. 211 |
| Proofs for the Chapter Stationary Bilinear Models | p. 213 |
| Proofs for Sections 3.6.1 | p. 223 |
| Cumulants and Fourier transforms for GARCH(1,1) | p. 227 |
| Proofs for the Chapter Non-Gaussian Estimation | p. 231 |
| Proof for the Chapter Linearity Test | p. 245 |
| References | p. 247 |
| Index | p. 257 |
| Table of Contents provided by Blackwell. All Rights Reserved. |
ISBN: 9780387988726
ISBN-10: 0387988726
Series: Lecture Notes in Statistics
Audience:
General
Format:
Paperback
Language:
English
Number Of Pages: 270
Publisher: Springer-Verlag New York Inc.
Country of Publication: US
Dimensions (cm): 23.39 x 15.6
x 1.52
Weight (kg): 0.41
