Multivariate Time Series With Linear State Space Structure - Couverture souple

G�mez, V�ctor

9783319803852: Multivariate Time Series With Linear State Space Structure

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ISBN 10 : 3319803859 ISBN 13 : 9783319803852

Editeur : Springer, 2018

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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 space models, including canonical forms. It also highlights the relationship between Wiener-Kolmogorov and Kalman filtering both with an infinite and a finite sample. The strength of the book also lies in the numerous algorithms included for state space models that take advantage of the recursive nature of the models. Many of these algorithms can be made robust, fast, reliable and efficient. The book is accompanied by a MATLAB package called SSMMATLAB and a webpage presenting implemented algorithms with many examples and case studies. Though it lays a solid theoretical foundation, the book also focuses on practical application, and includes exercises in each chapter. It is intendedfor researchers and students working with linear state space models, and who are familiar with linear algebra and possess some knowledge of statistics.

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� propos de l?auteur

Dr. V�ctor G�mez is a statistician and technical advisor at the Spanish Ministry of Finance and Public Administrations in Madrid. His professional activity involves statistical, econometric and, above all, time series analysis of macroeconomic data, mostly in connection with short term economic analysis. More recently, he has focused on research in the field of time series analysis and the development of software for time series analysis. He has also taught numerous courses on time series analysis and related topics such as short-term forecasting, seasonal adjustment methods or time series filtering.

Les informations fournies dans la section � A propos du livre � peuvent faire r�f�rence � une autre �dition de ce titre.

�diteurSpringer
Date d'�dition2018
ISBN 10 3319803859
ISBN 13 9783319803852
ReliureBroch�
Langueanglais
Nombre de pages560
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9783319285986: Multivariate Time Series With Linear State Space Structure

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ISBN 10 : 331928598X ISBN 13 : 9783319285986
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Multivariate Time Series With Linear State Space Structure

V�ctor G�mez

Edit� par Springer International Publishing, 2018

ISBN 10 : 3319803859 ISBN 13 : 9783319803852

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Etat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Provides a comprehensive account of both theory and algorithms for time series and linear state space modelsRefers to a webpage with algorithms programmed in MATLAB and numerous examples Studies the relationship between VARMA and sta. N� de r�f. du vendeur 448755514

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Multivariate Time Series With Linear State Space Structure

V�ctor G�mez

Edit� par Springer International Publishing, Springer International Publishing, 2018

ISBN 10 : 3319803859 ISBN 13 : 9783319803852

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Taschenbuch. Etat : Neu. Druck auf Anfrage Neuware - Printed after ordering - 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 space models, including canonical forms. It also highlights the relationship between Wiener-Kolmogorov and Kalman filtering both with an infinite and a finite sample. The strength of the book also lies in the numerous algorithms included for state space models that take advantage of the recursive nature of the models. Many of these algorithms can be made robust, fast, reliable and efficient. The book is accompanied by a MATLAB package called SSMMATLAB and a webpage presenting implemented algorithms with many examples and case studies. Though it lays a solid theoretical foundation, the book also focuses on practical application, and includes exercises in each chapter. It is intendedfor researchers and students working with linear state space models, and who are familiar with linear algebra and possess some knowledge of statistics. N� de r�f. du vendeur 9783319803852

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Multivariate Time Series With Linear State Space Structure

V�ctor G�mez

Edit� par Springer International Publishing Mai 2018, 2018

ISBN 10 : 3319803859 ISBN 13 : 9783319803852

Neuf Taschenbuch

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Vendeur : BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Allemagne

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Taschenbuch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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 space models, including canonical forms. It also highlights the relationship between Wiener-Kolmogorov and Kalman filtering both with an infinite and a finite sample. The strength of the book also lies in the numerous algorithms included for state space models that take advantage of the recursive nature of the models. Many of these algorithms can be made robust, fast, reliable and efficient. The book is accompanied by a MATLAB package called SSMMATLAB and a webpage presenting implemented algorithms with many examples and case studies. Though it lays a solid theoretical foundation, the book also focuses on practical application, and includes exercises in each chapter. It is intended for researchers and students working with linear state space models, and who are familiar with linear algebra and possess some knowledge of statistics. 560 pp. Englisch. N� de r�f. du vendeur 9783319803852

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Multivariate Time Series With Linear State Space Structure

V�ctor G�mez

Edit� par Springer Nature Switzerland, Springer International Publishing Mai 2018, 2018

ISBN 10 : 3319803859 ISBN 13 : 9783319803852

Neuf Taschenbuch

Vendeur : buchversandmimpf2000, Emtmannsberg, BAYE, Allemagne

�valuation du vendeur 5 sur 5 �toiles

Taschenbuch. Etat : Neu. Neuware -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 space models, including canonical forms. It also highlights the relationship between Wiener-Kolmogorov and Kalman filtering both with an infinite and a finite sample. The strength of the book also lies in the numerous algorithms included for state space models that take advantage of the recursive nature of the models. Many of these algorithms can be made robust, fast, reliable and efficient. The book is accompanied by a MATLAB package called SSMMATLAB and a webpage presenting implemented algorithms with many examples and case studies. Though it lays a solid theoretical foundation, the book also focuses on practical application, and includes exercises in each chapter. It is intendedfor researchers and students working with linear state space models, and who are familiar with linear algebra and possess some knowledge of statistics.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 560 pp. Englisch. N� de r�f. du vendeur 9783319803852

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