Nonlinear Time Series just appeared

My friends Randal Douc and Éric Moulines just published this new time series book with David Stoffer. (David also wrote Time Series Analysis and its Applications with Robert Shumway a year ago.) The books reflects well on the research of Randal and Éric over the past decade, namely convergence results on Markov chains for validating both inference in nonlinear time series and algorithms applied to those objects. The later includes MCMC, pMCMC, sequential Monte Carlo, particle filters, and the EM algorithm. While I am too close to the authors to write a balanced review for CHANCE (the book is under review by another researcher, before you ask!), I think this is an important book that reflects the state of the art in the rigorous study of those models. Obviously, the mathematical rigour advocated by the authors makes Nonlinear Time Series a rather advanced book (despite the authors’ reassuring statement that “nothing excessively deep is used”) more adequate for PhD students and researchers than starting graduates (and definitely not advised for self-study), but the availability of the R code (on the highly personal page of David Stoffer) comes to balance the mathematical bent of the book in the first and third parts. A great reference book!

6 Responses to “Nonlinear Time Series just appeared”

  1. […] article was first published on Xi’an’s Og » R, and kindly contributed to […]

  2. Ordered! Following “Inference in Hidden Markov Models” by Cappé, Moulines and Rydén (2005) and “Time Series Analysis and its Applications” by Shumway and Stoffer (2011) (and the work of Randal Douc), I’m looking very much forward to getting my hands on this book.

  3. Stoffer seems to disagree: “The text can be used for a second course in time series analysis or can be read like a novel. ”

    I’ve never met a tech book which could be read like a novel. Well if “Ulysses” is the comparator…

  4. […] article was first published on Xi'an's Og » R, and kindly contributed to […]

  5. Thanks. I think I’ll buy this.

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