(1) Nonparametric Analysis in Time Domain
Silverman, B. (1986): Nonparametric Density Estimation and Data Analysis. Chapman and Hall: London.
Hardle, W. (1990): Applied Nonparametric Regression. Cambridge University Press: Cambridge.
Fan, J. and Q. Yao (2003), Nonlinear Time Series: Parametric and Nonparametric Methods, Springer: New York.
(2) Nonparametric Methods in Frequency Domain
Priestley, M. (1981), Spectral Analysis and Time Series. Academic Press: New York.
Hannan, E. (1970), Multiple Time Series, John Wiley: New York.