Multivariate Time Series With Linear State Space Structure

Multivariate Time Series With Linear State Space Structure

by Vïctor Gïmez

Paperback(Softcover reprint of the original 1st ed. 2016)

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Product Details

ISBN-13: 9783319803852
Publisher: Springer International Publishing
Publication date: 05/31/2018
Edition description: Softcover reprint of the original 1st ed. 2016
Pages: 541
Product dimensions: 6.10(w) x 9.25(h) x (d)

About the Author

Dr. Víctor Gómez is a statistician and technical advisor at the Spanish Ministry of Finance and Public Administrations in Madrid. His professional activity involves statistical, econometric and, above all, time series analysis of macroeconomic data, mostly in connection with short term economic analysis. More recently, he has focused on research in the field of time series analysis and the development of software for time series analysis. He has also taught numerous courses on time series analysis and related topics such as short-term forecasting, seasonal adjustment methods or time series filtering.

Table of Contents

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.

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