Fan J., Yao Q. Nonlinear Time Series

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N.-Y., Springer-Verlag, 2003. - 569 p.

Монография посвящена методам анализа, оценивания и прогноза нелинейных моделей временных рядов, включая нелинейную авторегрессию, GARCH, методам оценивания плотности вероятности и спектра, сглаживанию временных рядов, проверке значимости нелинейных моделей и предсказанию поведения временных рядов. Примеры преимущественно из экономической области, у читателя предполагается знакомство с математическим аппаратом анализа временных рядов.

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