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Nonlinear Time Series : Theory, Methods, and Applications with R Examples, Hardcover by Douc, Randal; Moulines, Eric; Stoffer, David S., ISBN 1466502258, ISBN-13 9781466502253, Like New Used, Free P&P in the UK
"This text emphasizes nonlinear models for a course in time series analysis. After introducing stochastic processes, Markov chains, Poisson processes, and ARMA models, the authors cover functional autoregressive, ARCH, threshold AR, and discrete time series models as well as several complementary approaches. They discuss the main limit theorems for Markov chains, useful inequalities, statistical techniques to infer model parameters, and GLMs. Moving on to HMM models, th examines filtering and smoothing, parametric and nonparametric inference, advanced particle filtering, and numerical methods for inference"--
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