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Multivariate time series with linear state space structure / Victor Gomez.

By: Material type: TextTextPublication details: Switzerland : Springer, 2016.Description: xvii, 541 pages ; 24 cmISBN:
  • 9783319285986 (alk. paper)
Subject(s): DDC classification:
  • 000SA.3 23 G633
Contents:
1. Orthogonal Projection -- 2. Linear Models -- 3. Stationarity and Linear Time Series Models -- 4. The State Space Model -- 5. Time Invariant State Space Models -- 6. Time Invariant State Space Models With Inputs -- 7. Wiener-Kolmogorov Filtering and Smoothing -- 8. SSMMATLAB.
Summary: This book presents a comprehensive study of multivariate time serieswith linear state space structure. The strength of the book also lies in the numerous algorithms includedfor state space models that take advantage of the recursive nature of themodels.
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Holdings
Item type Current library Call number Status Date due Barcode Item holds
Books ISI Library, Kolkata 000SA.3 G633 (Browse shelf(Opens below)) Available 137898
Total holds: 0

Includes bibliographical references and indexes.

1. Orthogonal Projection --
2. Linear Models --
3. Stationarity and Linear Time Series Models --
4. The State Space Model --
5. Time Invariant State Space Models --
6. Time Invariant State Space Models With Inputs --
7. Wiener-Kolmogorov Filtering and Smoothing --
8. SSMMATLAB.

This book presents a comprehensive study of multivariate time serieswith linear state space structure. The strength of the book also lies in the numerous algorithms includedfor state space models that take advantage of the recursive nature of themodels.

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