An introduction to state space time series analysis /

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This text provides an introduction to time series analysis using state space methodology to readers who are neither familiar with time series analysis, nor with state space methods. This is the first in a series of books designed to provide practitioners, researchers, and students with practical int...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Commandeur, Jacques J. F.
Otros Autores: Koopman, S. J. (Siem Jan)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Oxford : Oxford University Press, 2007.
Colección:Practical econometrics series.
Temas:
State-space methods.
Time-series analysis.
Méthodes de l'espace état.
Série chronologique.
MATHEMATICS > Probability & Statistics > Time Series.
State-space methods
Time-series analysis
Acceso en línea:Texto completo
Tabla de Contenidos:
  • List of Figures; List of Tables; 1. Introduction; 2. The local level model; 3. The local linear trend model; 4. The local level model with seasonal; 5. The local level model with explanatory variable; 6. The local level model with intervention variable; 7. The UK seat belt and inflation models; 8. General treatment of univariate state space models; 9. Multivariate time series analysis*; 10. State space and Box-Jenkins methods for time series analysis; 11. State space modelling in practice; 12. Conclusions; APPENDIX A. UK drivers KSI and petrol price.

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