Concepts and tools for nonlinear time series modelling

Tools and approaches are provided for nonlinear time series modelling in econometrics. A wide range of topics is covered, including probabilistic properties, statistical inference and computational methods. The focus is on the applications but the ideas of the mathematical arguments are also provided. Techniques and concepts are illustrated by various examples, Monte Carlo experiments and a real application.

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Year of publication:	2009
Authors:	Amendola, Alessandra ; Christian, Francq
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Consistency and asymptotic normality \| MCMC algorithms \| Mixing \| Nonlinear modelling \| Stationarity \| Time-series forecasting

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005078684