State Space Modeling of Time Series

Aoki, M.

ISBN 10: 3540528709 / ISBN 13: 9783540528708

Edité par Springer, 1990

A propos de cet article

This is an ex-library book and may have the usual library/used-book markings inside.This book has soft covers. Clean from markings. In good all round condition. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,650grams, ISBN:3540528709.

N° de réf. du vendeur 8662835

Détails bibliographiques

• Titre: State Space Modeling of Time Series
• Éditeur: Springer
• Date de parution: 1990
• Langue: anglais
• ISBN à 10 chiffres: 3540528709
• ISBN à 13 chiffres: 9783540528708
• Reliure: Couverture souple
• Édition: 2ème Édition
• État de l'article: Good
• Poids: 650 grammes
• Catalogues du vendeur:
  • Science & Technology

A propos de ce titre

Synopsis

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.