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- [1] "Time Series Analysis and its Applications" (2000) by R. H. Shumway and D. S. Stoffer, New York, Springer-Verlag.
- [2] "Introduction to Multiple Time Series Analysis" (1993), 2nd. edition, by H. Lutkepohl, New York, Springer-Verlag.
- [3] "Time Series Analysis: Forecasting and Control" (1994), 3rd edition, by G. E. P. Box, G. M. Jenkins and G. C. Reinsel, New Jersey, Prentice-Hall.
- [4] "Introduction to Statistical Time Series" (1996), 2nd edition, by W. A. Fuller, New York, John Wiley.
- [5] "Time Series: Theory and Methods" (1991), 2nd. edition, by P. J. Brockwell and R. A. Davis, New York, Springer-Verlag.
- [6] "Bayesian Forecasting and Dynamic Models" (1997) by M. West and J. Harrison, New York, Springer-Verlag.
- [7] "Nonlinear Time Series: A Dynamical System Approach", (1990), by H. Tong, Oxford University Press.
- [8] "Functional Coefficient Time Series Models for Nonlinear Time Series" (2000) by Z. Cai, J. Fan and Q. Yao, Journal of the American Statistical Association, 95, pp. 941-956.
- [9] "Nonparametric Econometrics" (1999) by A. Pagan and A. Ullah, Cambridge University Press.
- [10] "Statistics for Long-Memory Processes" (1994) by Jan Beran, CRC Press.
- [11] "Nonlinear Time Series: Parametric and Nonparametric Models" (2003) by J. Fan and Q. Yao, New York, Springer-Verlag