State-Space Methods for Time Series Analysis

Theory, Applications and Software
1. Auflage 2016
ISBN: 978-1-4822-1959-3
Verlag: Chapman and Hall/CRC

Buch, Englisch, 298 Seiten, Format (B × H): 161 mm x 240 mm, Gewicht: 614 g

Reihe: Chapman & Hall/CRC Monographs on Statistics and Applied Probability

The state-space approach provides a formal framework where any result or procedure developed for a basic model can be seamlessly applied to a standard formulation written in state-space form. Moreover, it can accommodate with a reasonable effort nonstandard situations, such as observation errors, aggregation constraints, or missing in-sample values.

Exploring the advantages of this approach, State-Space Methods for Time Series Analysis: Theory, Applications and Software presents many computational procedures that can be applied to a previously specified linear model in state-space form.

After discussing the formulation of the state-space model, the book illustrates the flexibility of the state-space representation and covers the main state estimation algorithms: filtering and smoothing. It then shows how to compute the Gaussian likelihood for unknown coefficients in the state-space matrices of a given model before introducing subspace methods and their application. It also discusses signal extraction, describes two algorithms to obtain the VARMAX matrices corresponding to any linear state-space model, and addresses several issues relating to the aggregation and disaggregation of time series. The book concludes with a cross-sectional extension to the classical state-space formulation in order to accommodate longitudinal or panel data. Missing data is a common occurrence here, and the book explains imputation procedures necessary to treat missingness in both exogenous and endogenous variables.

Web Resource
The authors’ E4 MATLAB® toolbox offers all the computational procedures, administrative and analytical functions, and related materials for time series analysis. This flexible, powerful, and free software tool enables readers to replicate the practical examples in the text and apply the procedures to their own work.

Autoren/Hrsg.

Casals, Jose

Garcia-Hiernaux, Alfredo

Jerez, Miguel

Sotoca, Sonia

Trindade, A. Alexandre

Fachgebiete

• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle
• Mathematik | Informatik Mathematik Stochastik

Inhaltsverzeichnis

Introduction

Linear state-space models

The multiple error model

Single error models

Model transformations

Model decomposition

Model combination

Change of variables in the output

Uses of these transformations

Filtering and smoothing

The conditional moments of a state-space model

The Kalman filter

Decomposition of the smoothed moments

Smoothing for a general state-space model

Smoothing for fixed-coefficients and single-error models

Uncertainty of the smoothed estimates in a fixed-coefficients SEM

Examples

Likelihood computation for fixed-coefficients models

Maximum likelihood estimation

The likelihood for a non-stationary model

The likelihood for a model with inputs
Examples

The likelihood of models with varying parameters

Regression with time-varying parameters

Periodic models

The likelihood of models with GARCH errors

Examples

Subspace methods

Theoretical foundations

System order estimation

Constrained estimation

Multiplicative seasonal models
Examples

Signal extraction

Input and error-related components

Estimation of the deterministic components

Decomposition of the stochastic component

Structure of the method

Examples

The VARMAX representation of a state-space model

Notation and previous results

Obtaining the VARMAX form of a state-space model

Practical applications and examples

Aggregation and disaggregation of time series

The effect of aggregation on a state-space model

Observability in the aggregated model

Specification of the high-frequency model

Empirical example

The cross-sectional extension: longitudinal and panel data

Model formulation

The Kalman filter

The linear mixed model in state-space form

Maximum likelihood estimation

Missing data modifications

Real data examples

Appendices
Appendix A: Some results in numerical algebra and linear systems

Appendix B: Asymptotic properties of maximum likelihood estimates

Appendix C: Software (E4)
Appendix D: Downloading E4 and the examples in this book

Bibliography

Über Autor(innen)

Jose Casals is head of global risk management at Bankia. He is also an associate professor of econometrics at Universidad Complutense de Madrid.

Alfredo Garcia-Hiernaux is an associate professor of econometrics at Universidad Complutense de Madrid and a freelance consultant.

Miguel Jerez is an associate professor of econometrics at Universidad Complutense de Madrid and a freelance consultant. He was previously executive vice-president at Caja de Madrid for six years.

Sonia Sotoca is an associate professor of econometrics at Universidad Complutense de Madrid.

Drs. Casals, Garcia-Hiernaux, Jerez, and Sotoca are all engaged in a long-term research project to apply state-space techniques to standard econometric problems. Their common research interests include state-space methods and time series econometrics.

A. Alexandre (Alex) Trindade is a professor of statistics in the Department of Mathematics and Statistics at Texas Tech University and an adjunct professor in the Graduate School of Biomedical Sciences at Texas Tech University Health Sciences Center. His research spans a broad swath of theoretical and computational statistics.