Nonlinear Time Series Modelling: An Introduction
回顾了非线性时间序列建模的最新进展，讨论了马尔可夫转换、阈值自回归和平滑转换自回归三类模型，并介绍了经典和贝叶斯估计方法、非线性检验以及预测与脉冲响应分析。
Recent developments in nonlinear time series modelling are reviewed. Three main types of nonlinear model are discussed: Markov Switching, Threshold Autoregression and Smooth Transition Autoregression. Classical and Bayesian estimation techniques are described for each model. Parametric tests for nonlinearity are reviewed with examples from the three types of model. Finally forecasting and impulse response analysis is developed.