Multivariate Time Series With Linear State Space Structure

This book presents a comprehensive study of multivariate time series with linear state space structure. The emphasis is put on both the clarity of the theoretical concepts and on efficient algorithms for implementing the theory. In particular, it investigates the relationship between VARMA and state...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Gómez, Víctor (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Cham : Springer International Publishing : Imprint: Springer, 2016.
Edición:1st ed. 2016.
Temas:
Statistics .
Mathematical statistics-Data processing.
Probabilities.
Econometrics.
Statistical Theory and Methods.
Statistics and Computing.
Probability Theory.
Statistics in Engineering, Physics, Computer Science, Chemistry and Earth Sciences.
Statistics in Business, Management, Economics, Finance, Insurance.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • Preface
  • Computer Software
  • Orthogonal Projection
  • Linear Models
  • Stationarity and Linear Time Series Models
  • The State Space Model
  • Time Invariant State Space Models
  • Time Invariant State Space Models With Inputs
  • Wiener-Kolmogorov Filtering and Smoothing
  • SSMMATLAB
  • Bibliography
  • Author Index
  • Subject Index.

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