Nonlinear time series: A selective review. (English) Zbl 0799.62098
Summary: A selective review of nonlinear time series is presented. All of the three phases in the specification - estimation - verification modelling cycle are covered, but much of the emphasis is on nonparametric and restricted nonparametric methods. In particular, recent results on nonparametric tests of linearity and independence are included.
MSC:
62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |
62G10 | Nonparametric hypothesis testing |