State Space Modeling of Time Series / Universitext (PDF)

Name: State Space Modeling of Time Series / Universitext
Brand: Springer Berlin Heidelberg
SKU: 103782652
Price: 53.49 EUR
Availability: OnlineOnly

(Sprache: Englisch)

Autor: Masanao Aoki

Schreiben Sie einen Kommentar zu "State Space Modeling of Time Series / Universitext".

State Space Modeling of Time Series / Universitext, Masanao Aoki

Merken

Mehr zum Inhalt Video

sofort als Download lieferbar

Bestellnummer: 103782652

eBook (pdf) 53.49 €

Download bestellen

Verschenken

26 DeutschlandCard Punkte sammeln

Lastschrift, Kreditkarte, Paypal, Rechnung
Kostenloser tolino webreader

Produktdetails

Produktbeschreibung
eBook Hilfe
Biblio. Angaben / Produktdetails

Produktinformationen zu „State Space Modeling of Time Series / Universitext (PDF)“

In this book, the author adopts a state space approach to time series modeling to provide a new, computer-oriented method for building models for vector-valued time series. This second edition has been completely reorganized and rewritten. Background material leading up to the two types of estimators of the state space models is collected and presented coherently in four consecutive chapters. New, fuller descriptions are given of state space models for autoregressive models commonly used in the econometric and statistical literature. Backward innovation models are newly introduced in this edition in addition to the forward innovation models, and both are used to construct instrumental variable estimators for the model matrices. Further new items in this edition include statistical properties of the two types of estimators, more details on multiplier analysis and identification of structural models using estimated models, incorporation of exogenous signals and choice of model size. A whole new chapter is devoted to modeling of integrated, nearly integrated and co-integrated time series.