A Nonlinear Time Series Workshop: A Toolkit for Detecting and Identifying Nonlinear Serial Dependence

The complex dynamic behavior exhibited by many nonlinear systems - chaos, episodic volatility bursts, shastic regimes switching - has attracted a good deal of attention in recent years. A Nonlinear Time Series Workshop provides the reader with both the statistical background and the software tools necessary for detecting nonlinear behavior in time series data. The most useful existing detection techniques are described, including Engle's LaGrange Multiplier test for conditional hetero-skeda...