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Nonlinear time series analysis since 1990: Some personal reflections. (English) Zbl 1018.37049
The author reflects upon the developments of the nonlinear time series analysis since 1990 focusing on the following five directions which he believes are the most promising: the interface between the nonlinear time series analysis and chaos, the nonparametric and semiparametric approach, nonlinear state space modeling, nonlinear modeling of panels of time series, and financial series in both discrete and continuous time. The author finishes the paper by predicting even faster and exciting developments of the subject in the next twenty years.

37M10 Time series analysis of dynamical systems
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
91B84 Economic time series analysis
37-03 History of dynamical systems and ergodic theory
01A05 General histories, source books
Full Text: DOI
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