State space modeling of time series
Author(s)
Bibliographic Information
State space modeling of time series
Springer-Verlag, c1987
- : Germany, pbk
- : Germany
- : U.S., pbk
- : U.S.
Available at 48 libraries
Note
Includes index
Bibliography: p. [301]-310
Description and Table of Contents
Table of Contents
Contents: Introduction.- The Notion of State.- Representation of Time Series.- State Space and ARMA Representation.- Properties of State Space Models.- Innovation Processes.- Kalman Filters.- State Vectors and Optimality Measures.- Computation of System Matrices.- Approximate Models and Error Analysis.- Numerical Examples.- Appendices.- References.- Subject Index.
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