Nonlinear Time Series:
Preface and Table of Content
Nonparametric and Parametric
Jianqing Fan and Qiwei Yao
(576pp)Springer-Verlag, New York (2003).
Table of Contents, Figures and Computer Programs
Link to Errorta: Errata
Book Review---Technometrics (2004)
Book Review---Quantitative Finance(2004)
Book Review--- International Institute of
of American Statistical Association (2005)
Book Review--- Australian Journal of Agricultural and Resource Economics(2005)
The posted materials augment the aforementioned book.
They include data sets, figures and programs that we used
to produce the book. The materials are intended only to stimulate
readers who would like to apply our methods to their own data.
The programs are only meant for our own "in-house" use. No warranty is
given when one applies it to their own problems. The general terms of
"GNU" licenses agreement should be observed when one uses the programs
Here are two paragraphs from Section 1.8 of the book.
Part of the computation in this book was carried out using the
software package S-plus.
A large part of linear modelling was performed using
the ITSM package of Brockwell and
Davis (1996), estimation for GARCH models was carried out in S+GARCH.
The procedures that are computationally more
demanding were implemented in
the C language. Most of the one-dimensional smoothing described in this
book can easily be implemented by using existing software. Local
linear smoothing with automatic bandwidth selection was programmed in
C-code. Varying-coefficient models can be implemented using
any package with a least-squares function via introducing weights.
Most of the graphics in this book are plotted using S-plus.
It is our hope that readers will be stimulated to use the methods
described in this book for their own applications and research.
Our aim is to
provide information in sufficient detail so that readers can produce
own implementations. This will be a valuable exercise for students and
readers who are new to the area.
Figures and programs of Chapter 1
Figures and programs of Chapter 2
Figures and programs of Chapter 3
Figures and programs of Chapter 4
Figures and programs of Chapter 5
Figures and programs of Chapter 6
Figures and programs of Chapter 7
Figures and programs of Chapter 8
Figures and programs of Chapter 9
Figures and programs of Chapter 10