State Space Modeling of Time Series (Universitext) - Tapa blanda

Aoki, Masanao

 
9783540528708: State Space Modeling of Time Series (Universitext)
Tapa blanda
ISBN 10: 3540528709 ISBN 13: 9783540528708
Editorial: Springer, 1990

Sinopsis

In this book, the author adopts a state space approach to time series modeling to provide a new, computer-oriented method for building models for vector-valued time series. This second edition has been completely reorganized and rewritten. Background material leading up to the two types of estimators of the state space models is collected and presented coherently in four consecutive chapters. New, fuller descriptions are given of state space models for autoregressive models commonly used in the econometric and statistical literature. Backward innovation models are newly introduced in this edition in addition to the forward innovation models, and both are used to construct instrumental variable estimators for the model matrices. Further new items in this edition include statistical properties of the two types of estimators, more details on multiplier analysis and identification of structural models using estimated models, incorporation of exogenous signals and choice of model size. A whole new chapter is devoted to modeling of integrated, nearly integrated and co-integrated time series.

"Sinopsis" puede pertenecer a otra edición de este libro.

Reseña del editor

In this book, the author adopts a state space approach to time series modeling to provide a new, computer-oriented method for building models for vector-valued time series. This second edition has been completely reorganized and rewritten. Background material leading up to the two types of estimators of the state space models is collected and presented coherently in four consecutive chapters. New, fuller descriptions are given of state space models for autoregressive models commonly used in the econometric and statistical literature. Backward innovation models are newly introduced in this edition in addition to the forward innovation models, and both are used to construct instrumental variable estimators for the model matrices. Further new items in this edition include statistical properties of the two types of estimators, more details on multiplier analysis and identification of structural models using estimated models, incorporation of exogenous signals and choice of model size. A whole new chapter is devoted to modeling of integrated, nearly integrated and co-integrated time series.

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
Springer
Año de publicación
1990
Idioma
Inglés
ISBN 10 
3540528709
ISBN 13 
9783540528708
Encuadernación
Tapa blanda
Número de edición
2
Número de páginas
348
Contacto del fabricante
ProductSafety@springernature.com
ProductSafety@springernature.com

Poststr. 9
Darmstadt
64293
Alemania

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