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Bilinear Stochastic Models and Related Problems of Nonlinear Time Series Analysis : A Frequency Domain Approach : Lecture Notes in Statistics - Gyorgy Terdik

Bilinear Stochastic Models and Related Problems of Nonlinear Time Series Analysis : A Frequency Domain Approach

Lecture Notes in Statistics

Paperback ISBN: 9780387988726
Number Of Pages: 270

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The 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
Foundationsp. 1
The Multiple Wiener - Ito Integralp. 33
Stationary Bilinear Modelsp. 63
Non-Gaussian Estimationp. 155
Linearity Testp. 177
Some Applicationsp. 197
Momentsp. 211
Proofs for the Chapter Stationary Bilinear Modelsp. 213
Proofs for Sections 3.6.1p. 223
Cumulants and Fourier transforms for GARCH(1,1)p. 227
Proofs for the Chapter Non-Gaussian Estimationp. 231
Proof for the Chapter Linearity Testp. 245
Referencesp. 247
Indexp. 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