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Nonlinear Time Series Nonparametric and Parametric Methods
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Nonlinear Time Series:
Nonparametric and
Parametric Methods
Jianqing Fan
Qiwei Yao
SPRINGER
Springer Series in Statistics
Advisors:
P. Bickel, P. Diggle, S. Fienberg, K. Krickeberg,
I. Olkin, N. Wermuth, S. Zeger
Jianqing Fan
Qiwei Yao
Nonlinear Time Series
Nonparametric and Parametric Methods
Jianqing Fan Qiwei Yao
Department of Operations Research Department of Statistics
and Financial Engineering London School of Economics
Princeton University London WC2A 2AE
Princeton, NJ 08544 UK
USA q.yao@lse.ac.uk
jqfan@princeton.edu
Library of Congress Cataloging-in-Publication Data
Fan, Jianqing.
Nonlinear time series : nonparametric and parametric methods / Jianqing Fan, Qiwei Yao.
p. cm. — (Springer series in statistics)
Includes bibliographical references and index.
ISBN 0-387-95170-9 (alk. paper)
1. Time-series analysis. 2. Nonlinear theories. I. Yao, Qiwei. II. Title. III. Series.
QA280 .F36 2003
519.2′32—dc21 2002036549
ISBN 0-387-95170-9 Printed on acid-free paper.
2003 Springer-Verlag New York, Inc.
All rights reserved. This work may not be translated or copied in whole or in part without the
written permission of the publisher (Springer-Verlag New York, Inc., 175 Fifth Avenue, New York,
NY 10010, USA), except for brief excerpts in connection with reviews or scholarly analysis. Use
in connection with any form of information storage and retrieval, electronic adaptation, computer
software, or by similar or dissimilar methodology now known or hereafter developed is forbidden.
The use in this publication of trade names, trademarks, service marks, and similar terms, even if
they are not identified as such, is not to be taken as an expression of opinion as to whether or not
they are subject to proprietary rights.
Printed in the United States of America.
987654321 SPIN 10788773
Typesetting: Pages created by the authors using a Springer 2e macro package.
www.springer-ny.com
Springer-Verlag New York Berlin Heidelberg
A member of BertelsmannSpringer Science+Business Media GmbH
To those
Who educate us;
Whom we love; and
With whom we collaborate
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