Universitext

State Space Modeling of Time Series

Authors: Aoki, Masanao

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eBook $69.99
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  • ISBN 978-3-642-75883-6
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Softcover $99.00
price for USA
  • ISBN 978-3-540-52870-8
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About this Textbook

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.

Table of contents (12 chapters)

Buy this book

eBook $69.99
price for USA (gross)
  • ISBN 978-3-642-75883-6
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $99.00
price for USA
  • ISBN 978-3-540-52870-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
State Space Modeling of Time Series
Authors
Series Title
Universitext
Copyright
1990
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-75883-6
DOI
10.1007/978-3-642-75883-6
Softcover ISBN
978-3-540-52870-8
Series ISSN
0172-5939
Edition Number
2
Number of Pages
XVII, 323
Number of Illustrations and Tables
3 b/w illustrations
Topics