Stock image for illustration purposes only - book cover, edition or condition may vary.
Nonlinear Time Series Workshop
Patterson, Douglas M.; Ashley, Richard A.
€ 184.72
FREE Delivery in Ireland
Description for Nonlinear Time Series Workshop
Hardback. Provides the reader with both the statistical background and the software tools for detecting nonlinear behavior in time series data. This book describes various detection techniques including Engle's LaGrange Multiplier test for conditional hetero-skedasticity and tests based on the correlation dimension and on the estimated bispectrum. Series: Dynamic Modeling and Econometrics in Economics and Finance. Num Pages: 210 pages, biography. BIC Classification: KCH. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly; (UU) Undergraduate. Dimension: 234 x 156 x 14. Weight in Grams: 1080.
The analysis ofwhat might be called "dynamic nonlinearity" in time series has its roots in the pioneering work ofBrillinger (1965) - who first pointed out how the bispectrum and higher order polyspectra could, in principle, be used to test for nonlinear serial dependence - and in Subba Rao and Gabr (1980) and Hinich (1982) who each showed how Brillinger's insight could be translated into a statistical test. Hinich's test, because ittakes advantage ofthe large sample statisticalpropertiesofthe bispectral estimates became the first usable statistical test for nonlinear serial dependence. We are forever grateful to Mel Hinich for getting us involved at ... Read more
The analysis ofwhat might be called "dynamic nonlinearity" in time series has its roots in the pioneering work ofBrillinger (1965) - who first pointed out how the bispectrum and higher order polyspectra could, in principle, be used to test for nonlinear serial dependence - and in Subba Rao and Gabr (1980) and Hinich (1982) who each showed how Brillinger's insight could be translated into a statistical test. Hinich's test, because ittakes advantage ofthe large sample statisticalpropertiesofthe bispectral estimates became the first usable statistical test for nonlinear serial dependence. We are forever grateful to Mel Hinich for getting us involved at ... Read more
Product Details
Format
Hardback
Publication date
1999
Publisher
Kluwer Academic Publishers United States
Number of pages
210
Condition
New
Series
Dynamic Modeling and Econometrics in Economics and Finance
Number of Pages
201
Place of Publication
Dordrecht, Netherlands
ISBN
9780792386742
SKU
V9780792386742
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
Reviews for Nonlinear Time Series Workshop