Non-linear Time Series

The theory of non-linear time series is still a rapidly developing subject. This 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. This book provides the first accessible and comprehensive account of these exciting new developments and bridges the gap between linear and chaotic time series analysis.

As a companion to this book, a microcomputer software package is available for the testing for nonlinearity and the fitting of threshold autoregressive models. For more information, please contact the author.