Time Series Analysis by State Space Methods

Released on by James Durbin
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  • Time Series Analysis by State Space Methods Book Detail

  • Author : James Durbin
  • Release Date : 2001-06-21
  • Publisher : Oxford University Press
  • Genre : Business & Economics
  • Pages : 280
  • ISBN 13 : 9780198523543
  • File Size : 76,76 MB
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Time Series Analysis by State Space Methods by James Durbin PDF Summary

Book Description: State space time series analysis emerged in the 1960s in engineering, but its applications have spread to other fields. Durbin (statistics, London School of Economics and Political Science) and Koopman (econometrics, Free U., Amsterdam) extol the virtues of such models over the main analytical system currently used for time series data, Box-Jenkins' ARIMA. What distinguishes state space time models is that they separately model components such as trend, seasonal, regression elements and disturbance terms. Part I focuses on traditional and new techniques based on the linear Gaussian model. Part II presents new material extending the state space model to non-Gaussian observations. c. Book News Inc.

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Time Series Analysis by State Space Methods

Time Series Analysis by State Space Methods

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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 s

Time Series Analysis by State Space Methods

Time Series Analysis by State Space Methods

File Size : 94,94 MB
Total View : 3291 Views
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This is a comprehensive treatment of the state space approach to time series analysis. A distinguishing feature of state space time series models is that observ