Signal Extraction for Linear State-Space Models: Including a free MATLAB Toolbox for Time Series Modeling and Decomposition - Couverture souple

Jerez, Miguel; Casals, Jose; Sotoca, Sonia

 
9783845402840: Signal Extraction for Linear State-Space Models: Including a free MATLAB Toolbox for Time Series Modeling and Decomposition
Couverture souple
ISBN 10 : 3845402849 ISBN 13 : 9783845402840
Editeur : LAP LAMBERT Academic Publishing, 2011

Synopsis

This monograph discusses the decomposition of a vector of time series, described by a linear state-space model, into trend, cyclical, seasonal, irregular and input-related components. The representation and signal-extraction methods employed provide unique advantages, notably the ability to decompose single or multiple time series, the lack of revisions as the sample increases or the independence of the method from specific model formulations. Besides a complete and self-contained presentation of this subject, this text emphasizes in the practical application of the methods described. To this end, each chapter includes several examples of the methods proposed and Appendix A provides a broad description of E4, a free MATLAB Toolbox for time series analysis that can be freely downloaded from www.ucm.es/info/icae/e4. An Appendix provides the source code and data references required to replicate all the practical examples.

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

Présentation de l'éditeur

This monograph discusses the decomposition of a vector of time series, described by a linear state-space model, into trend, cyclical, seasonal, irregular and input-related components. The representation and signal-extraction methods employed provide unique advantages, notably the ability to decompose single or multiple time series, the lack of revisions as the sample increases or the independence of the method from specific model formulations. Besides a complete and self-contained presentation of this subject, this text emphasizes in the practical application of the methods described. To this end, each chapter includes several examples of the methods proposed and Appendix A provides a broad description of E4, a free MATLAB Toolbox for time series analysis that can be freely downloaded from www.ucm.es/info/icae/e4. An Appendix provides the source code and data references required to replicate all the practical examples.

Biographie de l'auteur

Teaches Econometrics at Universidad Complutense de Madrid. He is engaged with his colleagues Jose Casals and Sonia Sotoca in a long-term project to apply state-space methods to standard econometric problems. An output of this project is E4, a free MATLAB Toolbox for time series analysis that can be freely downloaded from www.ucm.es/info/icae/e4

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

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2011
Langue
anglais
ISBN 10 
3845402849
ISBN 13 
9783845402840
Reliure
Broché
Nombre de pages
112
Coordonnées du fabricant
non disponible
Personne responsable
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