[下载]Time Series: Advanced Methods

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Abstract

Recent developments in the time-domain analysis of time series are reviewed. The concept of dynamical systems serves as a unifying theme of the review. We consider first methods for the modelling of the drift component or the conditional mean of a time series. This includes the class of threshold models and its variants. We then consider methods for the modelling of the diffusion component or the conditional variance of a time series which includes the popular generalized autoregressive conditional heteroscedastic G(ARCH) models and the stochastic volatility (SV) models. Hybrid models for the modelling of both the drift and the diffusion are then introduced. Long memory and discrete-valued time series models are also included. The main focus is on univariate series although multivariate series are also mentioned where appropriate.

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• Time Series Advanced Methods.pdf

2005-3-9 07:17:00 上传

[下载]Time Series: Advanced Methods
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[此贴子已经被作者于2005-4-12 11:36:39编辑过]

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关键词：Time Series Advanced Methods ADVANCE Series 下载 Methods time Advanced Series

It seems not complete

3x

hard to be understood

threshold is very popular now

I like it ,but seems a little hard to catch it.

如此好东东，当然要收藏。谢谢

介绍不完整

正是我要的东西，非常感谢

I am so happy that you like it! Thanks!