Time Series Analysis by State Space Models - Couverture rigide

Durbin, James; Koopman, Siem Jan

 
9780198523543: Time Series Analysis by State Space Models
Couverture rigide
ISBN 10 : 0198523548 ISBN 13 : 9780198523543
Editeur : Clarendon Press, 2001

Synopsis

This excellent text provides a comprehensive treatment of 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 disturbence 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. The book provides an excellent source for the development of practical courses on time series analysis.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Revue de presse

... provides an up-to-date exposition and comprehensive treatment of state space models in time series analysis. (Journal of the Royal Statistical Society)

This book will be helpful to graduate students and applied statisticians working in the area of econometric modelling as well as researchers in the areas of engineering, medicine and biology where state space models are used. (Journal of the Royal Statistical Society)

... a good mixture of theory and practical applications ... graduate and research students will definitely enjoy this book. Also practitioners will find the book quite useful. I would also recommend it for library purchase. (Journal of the Royal Statistical Society)

Présentation de l'éditeur

This excellent text provides a comprehensive treatment of 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 disturbence 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. The book provides an excellent source for the development of practical courses on time series analysis.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Clarendon Press
Date d'édition
2001
Langue
anglais
ISBN 10 
0198523548
ISBN 13 
9780198523543
Reliure
Relié
Nombre de pages
272
Coordonnées du fabricant
non disponible
Personne responsable
Ufficio Anagrafiche Messaggerie
ufficio.anagrafiche@meli.it

Via Verdi, 8
Assago Milano
20090
Italie