ABSTRACT
The goal of this chapter is to to provide a cursory introduction to nonlinear processes and models that may be used for data analysis. We motivate the need for nonlinear and non-Gaussian models through real data examples, discussing why there is a need for such models. We give some examples that may help explain some of the similarities seen in nonlinear or non-Gaussian process from many different disciplines. Then we exhibit some of the models used to analyze such processes and briefly discuss their properties. Our intention is not to be exhaustive in covering these topics, but rather to give a sampling of various situations and approaches to modeling nonlinear and non-Gaussian processes.
