| Nonlinear Time Series Analysis Since 1990:Some Personal Reflections |
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| 作者姓名： | Howel Tong |
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| 作者单位： | Department of |
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| 基金项目： | Supported by Biological & Biotechnology Research Council and the Engineering & Physical Science Research Council of the United Kingdom,and by the Research Grant Council of Hong Kong. |
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| 摘 要： | Abstract I reflect upon the development of nonlinear time series analysis since 1990 by focusing on five majorareas of development. These areas include the interface between nonlinear time series analysis and chaos,thenonparametric/semiparametric approach,nonlinear state space modelling,financial time series and nonlinearmodelling of panels of time series.
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Nonlinear Time Series Analysis Since 1990: Some Personal Reflections |
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| Howel Tong.Nonlinear Time Series Analysis Since 1990:Some Personal Reflections[J].Acta Mathematicae Applicatae Sinica,2002,18(2):177-184. |
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| Authors: | Howel Tong |
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| Institution: | (1) Department of Statistics & Actuarial Science, University of Hong Kong, Hong Kong Department of Statistics, London School of Economics, United Kingdom (E-mail: htong@hku.hk), GB |
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| Abstract: | I reflect upon the development of nonlinear time series analysis since 1990 by focusing on five major areas of development. These areas include the interface between nonlinear time series analysis and chaos, the nonparametric/semiparametric approach, nonlinear state space modelling, financial time series and nonlinear modelling of panels of time series. |
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| Keywords: | Chaos common structure curse of dimensionality embedding dimension financial time series initial value sensitivity local polynomial smoother long memory Markov chain Monte Carlo nonlinear dynamical systems nonlinear state space models |
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