Multivariate Time Series With Linear State Space Structure
Gómez, Víctor.
creator
author.
aut
http://id.loc.gov/vocabulary/relators/aut
SpringerLink (Online service)
text
gw
2016
monographic
eng
access
XVII, 541 p. online resource.
This book presents a comprehensive study of multivariate time series with linear state space structure. The emphasis is put on both the clarity of the theoretical concepts and on efficient algorithms for implementing the theory. In particular, it investigates the relationship between VARMA and state space models, including canonical forms. It also highlights the relationship between Wiener-Kolmogorov and Kalman filtering both with an infinite and a finite sample. The strength of the book also lies in the numerous algorithms included for state space models that take advantage of the recursive nature of the models. Many of these algorithms can be made robust, fast, reliable and efficient. The book is accompanied by a MATLAB package called SSMMATLAB and a webpage presenting implemented algorithms with many examples and case studies. Though it lays a solid theoretical foundation, the book also focuses on practical application, and includes exercises in each chapter. It is intended for researchers and students working with linear state space models, and who are familiar with linear algebra and possess some knowledge of statistics.
Preface -- Computer Software -- Orthogonal Projection -- Linear Models -- Stationarity and Linear Time Series Models -- The State Space Model -- Time Invariant State Space Models -- Time Invariant State Space Models With Inputs -- Wiener–Kolmogorov Filtering and Smoothing -- SSMMATLAB -- Bibliography -- Author Index -- Subject Index.
by Víctor Gómez.
Mathematical statistics
Distribution (Probability theory
Statistics
Econometrics
Statistical Theory and Methods
Statistics and Computing/Statistics Programs
Probability Theory and Stochastic Processes
Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences
Econometrics
Statistics for Business/Economics/Mathematical Finance/Insurance
QA276-280
519.5
Springer eBooks
9783319285993
https://doi.org/10.1007/978-3-319-28599-3
https://doi.org/10.1007/978-3-319-28599-3
ISI Library, Kolkata
160509
20181204134229.0
978-3-319-28599-3