TY  - BOOK
AU  - Gomez,Victor
TI  - Multivariate time series with linear state space structure
SN  - 9783319285986 (alk. paper)
U1  - 000SA.3 23
PY  - 2016///
CY  - Switzerland : 
PB  - Springer
KW  - Time-series analysis.
KW  - Variate difference method
N1  - 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
N2  - 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
ER  -