Customer Reviews

Non-Linear Time Series: A Dynamical System Approach (Oxford Statistical Science Series, 6)

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I absolutely appreciated this book, which, in my opinion, perfectly matches with another book by Lawrence Perko titled "Differential equations and dynamical systems". The main reason why I think this is a very good book is that it deals in a quite clear and extremely precise way with the analysis of attractors for stochastic time series, also developing non trivial concepts such as Lyapunov functions and the study of chaos. Thanks to its completeness and to a great number of examples, it can be extremely useful for both the applied mathematician who wants to improve his or her knowledge concerning the analysis and the application of both deterministic and stochastic dynamical systems and for the econometrician as well. One only fault: it should have been written later: the concept of non linear cointegration could have been dealt with, making the text even more useful for econometricians. A must read, anyway.