Nonlinear Time Series: Nonparametric and Parametric Methods

Nonlinear Time Series:Nonparametric and Parametric Methods
Jianqing Fan and Qiwei Yao
(576pp)Springer-Verlag, New York (2003).


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.

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 their own implementations. This will be a valuable exercise for students and readers who are new to the area.

Data Sets, Figures, and Computer Programs