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
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Library, Research Institute for Mathematical Sciences, Kyoto University数研
: GermanyAOK||1||387004878
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Research Institute for Economics & Business Administration (RIEB) Library , Kobe University図書
: Germany, pbk.519.9-496081000076925
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Economic Library Nagasaki University
: Germany417.6||A||5a3851947,
: U.S., pbk.417.6||A||5b3852370, : U.S.417.6||A||53851693 -
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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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