Articles liés à State-Space Methods for Time Series Analysis
Synopsis
Exploring the advantages of the state-space approach, this book presents numerous computational procedures that can be applied to a previously specified linear model in state-space form. It discusses model estimation and signal extraction; describes many procedures to combine, decompose, aggregate, and disaggregate a state-space form; and covers
Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.
À propos de l?auteur
Jose Casals is head of global risk management at Bankia. He is also an associate professor of econometrics at Universidad Complutense de Madrid.
Alfredo Garcia-Hiernaux is an associate professor of econometrics at Universidad Complutense de Madrid and a freelance consultant.
Miguel Jerez is an associate professor of econometrics at Universidad Complutense de Madrid and a freelance consultant. He was previously executive vice-president at Caja de Madrid for six years.
Sonia Sotoca is an associate professor of econometrics at Universidad Complutense de Madrid.
Drs. Casals, Garcia-Hiernaux, Jerez, and Sotoca are all engaged in a long-term research project to apply state-space techniques to standard econometric problems. Their common research interests include state-space methods and time series econometrics.
A. Alexandre (Alex) Trindade is a professor of statistics in the Department of Mathematics and Statistics at Texas Tech University and an adjunct professor in the Graduate School of Biomedical Sciences at Texas Tech University Health Sciences Center. His research spans a broad swath of theoretical and computational statistics.
Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.
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State-Space Methods for Time Series Analysis
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Taschenbuch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -The state-space approach provides a formal framework where any result or procedure developed for a basic model can be seamlessly applied to a standard formulation written in state-space form. Moreover, it can accommodate with a reasonable effort nonstandard situations, such as observation errors, aggregation constraints, or missing in-sample values.Exploring the advantages of this approach, State-Space Methods for Time Series Analysis: Theory, Applications and Software presents many computational procedures that can be applied to a previously specified linear model in state-space form. After discussing the formulation of the state-space model, the book illustrates the flexibility of the state-space representation and covers the main state estimation algorithms: filtering and smoothing. It then shows how to compute the Gaussian likelihood for unknown coefficients in the state-space matrices of a given model before introducing subspace methods and their application. It also discusses signal extraction, describes two algorithms to obtain the VARMAX matrices corresponding to any linear state-space model, and addresses several issues relating to the aggregation and disaggregation of time series. The book concludes with a cross-sectional extension to the classical state-space formulation in order to accommodate longitudinal or panel data. Missing data is a common occurrence here, and the book explains imputation procedures necessary to treat missingness in both exogenous and endogenous variables.Web ResourceThe authors' E4 MATLAB® toolbox offers all the computational procedures, administrative and analytical functions, and related materials for time series analysis. This flexible, powerful, and free software tool enables readers to replicate the practical examples in the text and apply the procedures to their own work. 270 pp. Englisch. N° de réf. du vendeur 9780367570583
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State-Space Methods for Time Series Analysis
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Etat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Jose Casals is head of global risk management at Bankia. He is also an associate professor of econometrics at Universidad Complutense de Madrid.Alfredo Garcia-Hiernaux is an associate professor of econometrics at Universida. N° de réf. du vendeur 594589788
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State-Space Methods for Time Series Analysis: Theory, Applications and Software
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State-Space Methods for Time Series Analysis (Chapman & Hall/CRC Monographs on Statistics and Applied Probability)
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State-Space Methods for Time Series Analysis: Theory, Applications and Software
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State-Space Methods for Time Series Analysis (Chapman & Hall/CRC Monographs on Statistics and Applied Probability)
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State-space Methods for Time Series Analysis: Theory, Applications and Software
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Taschenbuch. Etat : Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - The state-space approach provides a formal framework where any result or procedure developed for a basic model can be seamlessly applied to a standard formulation written in state-space form. Moreover, it can accommodate with a reasonable effort nonstandard situations, such as observation errors, aggregation constraints, or missing in-sample values.Exploring the advantages of this approach, State-Space Methods for Time Series Analysis: Theory, Applications and Software presents many computational procedures that can be applied to a previously specified linear model in state-space form. After discussing the formulation of the state-space model, the book illustrates the flexibility of the state-space representation and covers the main state estimation algorithms: filtering and smoothing. It then shows how to compute the Gaussian likelihood for unknown coefficients in the state-space matrices of a given model before introducing subspace methods and their application. It also discusses signal extraction, describes two algorithms to obtain the VARMAX matrices corresponding to any linear state-space model, and addresses several issues relating to the aggregation and disaggregation of time series. The book concludes with a cross-sectional extension to the classical state-space formulation in order to accommodate longitudinal or panel data. Missing data is a common occurrence here, and the book explains imputation procedures necessary to treat missingness in both exogenous and endogenous variables.Web ResourceThe authors' E4 MATLAB® toolbox offers all the computational procedures, administrative and analytical functions, and related materials for time series analysis. This flexible, powerful, and free software tool enables readers to replicate the practical examples in the text and apply the procedures to their own work. N° de réf. du vendeur 9780367570583
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State-Space Methods for Time Series Analysis: Theory, Applications and Software
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