Time Series Analysis by State Space Methods

Erscheinungsjahr 2001
ISBN: 978-0-19-852354-3
Verlag: Oxford University Press

Buch, Englisch, Band 24, 272 Seiten, Format (B × H): 160 mm x 242 mm, Gewicht: 539 g

Reihe: Oxford Statistical Science Series

This book presents a comprehensive treatment of the state space approach to time series analysis.

This excellent text provides a comprehensive treatment of the state space approach to time series analysis. The distinguishing feature of state space time series models is that observations are regarded as made up of distinct components such as trend, seasonal, regression elements and disturbence terms, each of which is modelled separately. The techniques that emerge from this approach are very flexible and are capable of handling a much wider range of problems than the main analytical system currently in use for time series analysis, the Box-Jenkins ARIMA system. The book provides an excellent source for the development of practical courses on time series analysis.

Autoren/Hrsg.

Durbin, James

Koopman, Siem Jan

Fachgebiete

• Mathematik | Informatik Mathematik Stochastik Mathematische Statistik
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle
• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Wirtschaftsstatistik, Demographie
• Naturwissenschaften Biowissenschaften Angewandte Biologie Biomathematik