Articles liés à State Space Modeling of Time Series

State Space Modeling of Time Series - Couverture rigide

Aoki, M.

 
9783540172567: State Space Modeling of Time Series
Couverture rigide
ISBN 10 : 3540172564 ISBN 13 : 9783540172567
Editeur : Springer-Verlag Berlin and Heidelberg GmbH & Co. K, 1987

Présentation de l'éditeur

In this book, the author adopts a state space approach to time series modeling to provide a new, computer-oriented method for building models for vector-valued time series. This second edition has been completely reorganized and rewritten. Background material leading up to the two types of estimators of the state space models is collected and presented coherently in four consecutive chapters. New, fuller descriptions are given of state space models for autoregressive models commonly used in the econometric and statistical literature. Backward innovation models are newly introduced in this edition in addition to the forward innovation models, and both are used to construct instrumental variable estimators for the model matrices. Further new items in this edition include statistical properties of the two types of estimators, more details on multiplier analysis and identification of structural models using estimated models, incorporation of exogenous signals and choice of model size. A whole new chapter is devoted to modeling of integrated, nearly integrated and co-integrated time series.

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

Éditeur
Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Date d'édition
1987
Langue
anglais
ISBN 10 
3540172564
ISBN 13 
9783540172567
Reliure
Relié
Nombre de pages
314
Coordonnées du fabricant
non disponible
Personne responsable
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