A Nonlinear Time Series Workshop: A Toolkit for Detecting - download pdf or read online

By Douglas M. Patterson

ISBN-10: 144198688X

ISBN-13: 9781441986887

ISBN-10: 1461346657

ISBN-13: 9781461346654

The advanced dynamic habit exhibited by means of many nonlinear structures - chaos, episodic volatility bursts, stochastic regimes switching - has attracted a great deal of awareness in recent times. A Nonlinear Time sequence Workshop offers the reader with either the statistical historical past and the software program instruments worthy for detecting nonlinear habit in time sequence info. the main priceless latest detection options are defined, together with Engle's LaGrange Multiplier try for conditional hetero-skedasticity and checks according to the correlation size and at the anticipated bispectrum. those ideas are illustrated utilizing real facts from fields akin to economics, finance, engineering, and geophysics.

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Extra info for A Nonlinear Time Series Workshop: A Toolkit for Detecting and Identifying Nonlinear Serial Dependence

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2. See Jazwinski (1981), p. 39. 3. Convergence concepts for random sequences are covered in Jazwinski (1981), p. 57. 4. See Feller (1968), Chapter 7, for a discussion of the normal approximation to the binomi al distribution. 5. See Papoulis (1965), p. 503. 6. See Astrorn (1970) , p. 37. 7. The notation O(£\t) means O(£\t) - M as £\t-O, 0 < M < £\t 00 . o(£\t) 8. By o(£\t) we mean that ---0 as £\t-O. £\t 9. , etc. 11t can be expressed in terms of 2 DETECTING NONLINEAR SERIAL DEPENDENCE INTRODUCTION There are many statistical tests for nonlinear serial dependence in the literature.

Line 4: (lTOPLAG) The data is prewhitened using an AR(p) model. This parameter gives the largest value of p considered; ITOPLAG must be in the interval [IBOTLAG, 16]. Choosing ITOPLAG equal to IBOTLAG allows the user to specify a value for p. line 5: (mUM) Starting seed for the random number used in generating the bootstrapped samples. mUM must lie in the interval [0, 714026]. line 6: Control line for the Hinich BispectraI test. The first item on this line must be a lower class "y" to specify that the test will be done, or a lower case " n" to specify that the test not be done.

And Li, W. K. (1983) "Diagnostic Checking ARMA Time Series Models Using SquaredResidual Autocorrelations" Journal of Time Series Analysis 4, 269-73 . Mizrach, B. " unpublished manuscript. , and McCaffrey, D. 'Yournal ofthe Royal Statistical Society B 54, 399-426 . 8. " Journal ofthe Royal Statistical Society B 31, 350-371 . , C. L. Sayers and P. " International Economic Review 31,9911020. Subba Rao, T. and Gabr, M. (1980) "A Test for Linearity of Stationary Time Series Analysis"Journal of Time Series Analys is 1, 145-58.

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A Nonlinear Time Series Workshop: A Toolkit for Detecting and Identifying Nonlinear Serial Dependence by Douglas M. Patterson


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