Stochastic parameter regression models
著者
書誌事項
Stochastic parameter regression models
(Sage university papers series, . Quantitative applications in the social sciences ; no. 07-051)
Sage Publications, c1985
- : pbk
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注記
Bibliography: p. 77-79
内容説明・目次
内容説明
Whereas standard regression models force economic relationships or behavior to be fixed through time, stochastic parameter regression models allow relationships to vary slowly--without need for specification of the causes of that variation. The authors thoroughly examine the usefulness of the Kalman filter and state-space modeling in work with the stochastic parameter regression model.
目次
Introduction and Preliminaries
Estimation and Prediction
Some Tests of Hypotheses
Testing for Efficient Capital Markets
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