Non-Linear Time Series: A Dynamical System Approach (Oxford Statistical Science Series, Vol 6)

Hardcover

ISBN 10: 019852224X ISBN 13: 9780198522249

Publisher: Clarendon Pr, 1990

The analysis of time series data has for many years been a central component of statistical research and practice and the theory of linear time series is now well-established. However the theory of non-linear time series is still a rapidly developing subject. This book is an introduction to some of these developments and the present state of research. It is a theme of this book that developments in the study of dynamical systems have motivated many of the advances covered here. Consequently, Professor Tong discusses in some detail the fundamental concepts of dynamical systems theory such as limit cycles, Lyapunov exponents, thresholds, and stability, and demonstrates their role in the analysis of non-linear time series. The result is a book which aims to bridge the gap between linear and chaotic time series analysis. Both statisticians and dynamical system theorists may benefit from this account of the interplay between their subjects and the author has included discussion of many of the outstanding open problems which remain.

About the Author:

Howell Tong is at University of Kent, Canterbury.

Review:

'The book will no doubt become a standard reference on the subject, and the source of many an interesting research topic.'
Marji Lines, University of Udine, Ricerche Economiche (1993) 47