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Nonlinear time series analysis with R

Author: Ray G Huffaker; Marco Bittelli; Rodolfo Rosa
Publisher: Oxford : Oxford University Press, 2017. ©2017
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
A practical guide to emerging empirical techniques allowing practitioners to diagnose whether highly fluctuating and random appearing data are most likely driven by random or deterministic dynamic forces.
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Huffaker, Ray G.
Nonlinear time series analysis with R.
Oxford ; New York : Oxford University Press 2017
(DLC) 2017953063
(OCoLC)982092978
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Ray G Huffaker; Marco Bittelli; Rodolfo Rosa
ISBN: 9780191085796 0191085790
OCLC Number: 1007134809
Description: 1 online resource (ix, 360 pages) : illustrations
Contents: ""Cover""; ""Contents""; ""1 Why Study Nonlinear Time Series Analysis?""; ""1.1 Introduction""; ""1.2 Nonlinear Dynamics and a Strategy for Applying NLTS""; ""1.3 The Contribution of NLTS Diagnostics to Theoretical Modelling""; ""1.4 Caveats in Application""; ""1.5 Summary""; ""2 Linear and Nonlinear Dynamic Behaviour""; ""2.1 Introduction""; ""2.2 Discrete Linear Dynamics""; ""2.3 The Nonlinear Logistic Map""; ""2.4 Stability of Fixed Points""; ""2.5 Dynamics of the Logistic Map""; ""2.6 Analyzing Period Doubling with Bifurcation Diagrams""; ""2.7 Chaotic Behaviour"" ""2.8 Statistical Description of Chaotic Dynamics""""2.9 Summary""; ""3 Phase Space Reconstruction""; ""3.1 Introduction""; ""3.2 Ideal Simple Pendulum""; ""3.3 Embedding Procedure""; ""3.4 Phase Space Reconstruction with R packages""; ""3.5 Summary""; ""4 The Features of Chaos""; ""4.1 Introduction""; ""4.2 Lyapunov Exponent""; ""4.3 Recurrence Plots""; ""4.4 Correlation Dimension""; ""4.5 Poincaré Map""; ""4.6 Summary""; ""5 Entropy and Surrogate Testing""; ""5.1 Introduction""; ""5.2 Shannon Entropy of the Logistic Map""; ""5.3 Entropy Test""; ""5.4 Surrogate Test"" ""5.5 Tests for Nonlinear Serial Dependence with R Packages""""5.6 Summary""; ""6 Data Preprocessing""; ""6.1 Introduction""; ""6.2 Regular Behaviour of Linear ODE Models""; ""6.3 Noisy Linear Dynamics""; ""6.4 Singular Spectrum Analysis""; ""6.5 Nonstationary Dynamics""; ""6.6 Testing for Nonstationarity in Time Series Data""; ""6.7 Endogenous Complexity with Nonlinear Dynamics""; ""6.8 Summary""; ""7 Surrogate Data Testing""; ""7.1 Introduction""; ""7.2 Surrogate Data Testing in a Nutshell""; ""7.3 Surrogate Types""; ""7.4 Discriminating Statistics""; ""7.5 Rank Order Statistics"" ""7.6 R Code for Surrogate Data Testing""""7.7 Summary""; ""8 Empirically Detecting Causality""; ""8.1 Introduction""; ""8.2 Convergent Cross Mapping with R""; ""8.3 Extended (Delayed) Cross Convergent Mapping""; ""8.4 Network Plots""; ""8.5 Real-World Application""; ""8.6 Detecting Change Points""; ""8.7 Detecting Tipping Points""; ""8.8 Summary""; ""9 Phenomenological Modelling""; ""9.1 Introduction""; ""9.2 Components of a Phenomenological Model""; ""9.3 Approximation of Derivatives with Finite Differences""; ""9.4 Multivariate Polynomial Expansions"" ""9.5 Estimating System Coefficients: Ordinary Least Squares""""9.6 Estimating System Coefficients: Regularized Regression Methods""; ""9.7 Goodness of Fit""; ""9.8 Solution of Phenomenological Model""; ""9.9 Phenomenological Model Extracted from Three Observed Variables""; ""9.10 Phenomenological Model Extracted from a Single Observed Variable""; ""9.11 Summary""; ""10 Capstone: Application of NLTS to Real-World Data""; ""10.1 Data Preprocessing""; ""10.2 Phase Space Reconstruction""; ""10.3 Surrogate Data Testing""; ""10.4 Convergent Cross Mapping""; ""10.5 Phenomenological Model""
Responsibility: Ray Huffaker, Marco Bittelli, Rodolfo Rosa.

Abstract:

A practical guide to emerging empirical techniques allowing practitioners to diagnose whether highly fluctuating and random appearing data are most likely driven by random or deterministic dynamic  Read more...

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