Time Series Analysis by State Space Methods

Released on by James Durbin
preview-18

  • Time Series Analysis by State Space Methods Book Detail

  • Author : James Durbin
  • Release Date : 2012-05-03
  • Publisher : OUP Oxford
  • Genre : Business & Economics
  • Pages : 369
  • ISBN 13 : 0191627194
  • File Size : 69,69 MB
DOWNLOAD BOOK

Time Series Analysis by State Space Methods by James Durbin PDF Summary

Book Description: This new edition updates Durbin & Koopman's important text on the state space approach to time series analysis. The distinguishing feature of state space time series models is that observations are regarded as made up of distinct components such as trend, seasonal, regression elements and disturbance terms, each of which is modelled separately. The techniques that emerge from this approach are very flexible and are capable of handling a much wider range of problems than the main analytical system currently in use for time series analysis, the Box-Jenkins ARIMA system. Additions to this second edition include the filtering of nonlinear and non-Gaussian series. Part I of the book obtains the mean and variance of the state, of a variable intended to measure the effect of an interaction and of regression coefficients, in terms of the observations. Part II extends the treatment to nonlinear and non-normal models. For these, analytical solutions are not available so methods are based on simulation.

Disclaimer: www.yourbookbest.com does not own Time Series Analysis by State Space Methods books pdf, neither created or scanned. We just provide the link that is already available on the internet, public domain and in Google Drive. If any way it violates the law or has any issues, then kindly mail us via contact us page to request the removal of the link.

Hoarders

Hoarders

File Size : 13,13 MB
Total View : 2745 Views
DOWNLOAD

A Lit Hub Most Anticipated Book of 2021 An NPR Best Book of 2021 An Electric Literature Best Poetry Book of 2021 A Dennis Cooper Best Book of 2021 Hoarders is a