One Introduction. - 1. Time Series Model Building. - 2. Stationarity. - 3. Linear Gaussian Models. - 4. Some Advantages and Some Limitations of Arma Models. - 5. What Next?. - Two Some Basic Concepts. - 1. Orientation. - 2. Limit Cycles. - 3. Some Examples of Threshold Models. - 4. Time Delay. - 5. Discussion. - Three Threshold Models. - 1. A Canonical Form. - 2. Generality of Setar Models. - 3. Non-Linear Difference Equations. - 4. Threshold Models and Discrete-Time Non-Linear Vibrations. - 5. Ergodicity. - 6. Stationary Distributions and Moments. - 7. Cyclical Structure and Multi-Step-Ahead Forecasting. - Four Identification. - 1. A General Principle. - 2. Estimation of Parameters. - 3. Sampling Properties. - 4. Diagnostics and Graphical Methods. - 5. Miscellanea. - Five Some Case Studies. - 1. Analysis of Some Ecological Data. - 2. Analysis of the Sunspot Numbers. - 3. Analysis of Some Riverflow Data. - 4. A Case Study with Laboratory Data. - 5. A Fuzzy Extension. - 6. Concluding Remarks. - Appedices. - References. - Author Index. Language: English