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Threshold Models in Non-linear Time Series Analysis

  • Book
  • © 1983

Overview

Authors:
  1. Howell Tong

    1. Department of Statistics, The Chinese University of Hong Kong, Shatin, NT, Hong Kong

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Part of the book series: Lecture Notes in Statistics (LNS, volume 21)

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Table of contents (5 chapters)

  1. Front Matter

    Pages i-x
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  2. Introduction

    • Howell Tong
    Pages 1-33

  3. Some Basic Concepts

    • Howell Tong
    Pages 34-58

  4. Threshold Models

    • Howell Tong
    Pages 59-121

  5. Identification

    • Howell Tong
    Pages 122-162

  6. Some Case Studies

    • Howell Tong
    Pages 163-279

  7. Back Matter

    Pages 280-323
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Keywords

About this book

In the last two years or so, I was most fortunate in being given opportunities of lecturing on a new methodology to a variety of audiences in Britain, China, Finland, France and Spain. Despite my almost Confucian attitude of preferring talking (i.e. a transient record) to writing (i.e. a permanent record), the warm encouragement of friends has led to the ensuing notes. I am also only too conscious of the infancy of the methodology introduced in these notes. However, it is my sincere hope that exposure to a wider audience will accelerate its maturity. Readers are assumed to be familiar with the basic theory of time series analysis. The book by Professor M.B. Priestley (1981) may be used as a general reference. Chapter One is addressed to the general question: "why do we need non-linear time series models?" After describing some significant advantages of linear models, it singles out several major limitations of linearity. Of course, the selection reflects my personal view on the subject, which is only at its very beginning, although there does seem to be a general agreement in the literature that time irr'eversibility and limit cycles are among the most obvious.

Authors and Affiliations

  • Department of Statistics, The Chinese University of Hong Kong, Shatin, NT, Hong Kong

    Howell Tong

Bibliographic Information

  • Book Title: Threshold Models in Non-linear Time Series Analysis

  • Authors: Howell Tong

  • Series Title: Lecture Notes in Statistics

  • DOI: https://doi.org/10.1007/978-1-4684-7888-4

  • Publisher: Springer New York, NY

  • eBook Packages: Springer Book Archive

  • Copyright Information: Springer-Verlag New York Inc. 1983

  • Softcover ISBN: 978-0-387-90918-9Published: 01 November 1983

  • eBook ISBN: 978-1-4684-7888-4Published: 06 December 2012

  • Series ISSN: 0930-0325

  • Series E-ISSN: 2197-7186

  • Edition Number: 1

  • Number of Pages: X, 323

  • Topics: Statistics, general, Probability Theory and Stochastic Processes

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