Non-linear Time Series: A Selective Review*
Dag Tjøstheim · Scandinavian Journal of Statistics · 1994
A selective review of non-linear time series is presented. All of the three phases in the specification-estimation-verification modelling cycle are covered, but much of the emphasis is on non-parametric and restricted non-parametric methods. In particular, recent results on non-parametric tests of linearity and independence are included.