一、課程說明(Course Description)

探討非平穩與非線性時間序列資料之統計推論。



二、指定用書(Text Books)


1. Jianqing Fan and Qiwei Yao (2003)
Nonlinear Time Series: Nonparametric and Parametric Methods



三、參考書籍(References)

1. Howell Tong (1989)
Non-linear Time Series: A dynamical System Approach

2. W.K. Li (2004)
Diagnostic Checks in Time Series

3. Brockwell, Peter J. and Davis, Richard A. (1991)
Time Series: Theory and Methods, 2nd edition.

4. Tsay, Ruey S. (2002)
Analysis of Financial Time Series

5. Mike Wist and Jeff Harrison (1997)
Bayesian Forecasting and Dynamic Models (2nd edition)


四、教學方式(Teaching Method)

口述


五、教學進度(Syllabus)

1. Review: stationary and linear time series models

2. Commonly used nonlinear time series models

3. Tests for nonstationarity and nonlinearity

4. Dynamic models and state-space models

5. Best predictions: Kalman filter and nonlinear filter






六、成績考核(Evaluation)

1. homework 50%

2. project 50%



七、可連結之網頁位址