Non-Linear Time Series: Extreme Events and Integer Value Problems [Hardcover]

This book offers a useful combination of probabilistic and statistical tools for analyzing nonlinear time series. Key features of the book include a study of the extremal behavior of nonlinear time series and a comprehensive list of nonlinear models that address different aspects of nonlinearity. Several inferential methods, including quasi likelihood methods, sequential Markov Chain Monte Carlo Methods and particle filters, are also included so as to provide an overall view of the available tools for parameter estimation for nonlinear models. A chapter on integer time series models based on several thinning operations, which brings together all recent advances made in this area, is also included.

Readers should have attended a prior course on linear time series, and a good grasp of simulation-based inferential methods is recommended. This book offers a valuable resource for second-year graduate students and researchers in statistics and other scientific areas who need a basic understanding of nonlinear time series.

1.Introduction.- 2.Nonlinear Time Series Models.- 3.Extremes of Nonlinear Time Series.- 4.Inference for Nonlinear Time Series Models.- 5.Models for Integer-valued Time Series.

The style of the book is clearly intended for people who are familiar with the basic concepts of time series analysis. & it can be readily recommended to people wishing for a not too technical, and concise introduction to nonlinear time series analysis, which is a certainly welcome addition to the knowledge of any scholar in probability and statistics. (Tam?s T. Szab?, Acta Scientiarum Mathematicarum, Vol. 81 (1-2), 2015)

Kamil Feridun Turkman graduated from Middle East Technical University in 1976 and received a PhD degree in Statistics in 1980 from the University of Sheffield, England. Currently he is a Professor of Statistics at the Department of Statistics and l.