State-Space Methods for Time Series Analysis: Theory, Applications and Software (Monographs on Statistics & Applied Probability, 149, Band 149) - Hardcover

Casals, Jose; Garcia-Hiernaux, Alfredo; Jerez, Miguel

Hardcover

ISBN 10: 148221959X ISBN 13: 9781482219593

Verlag: Chapman and Hall/CRC, 2016

Inhaltsangabe

Exploring the advantages of the state-space approach, this book presents numerous computational procedures that can be applied to a previously specified linear model in state-space form. It discusses model estimation and signal extraction; describes many procedures to combine, decompose, aggregate, and disaggregate a state-space form; and covers the connection between mainstream time series models and the state-space representation. Source code, a complete user manual, and other materials related to the authors' MATLAB® toolbox are available on a supplementary website.

Über diesen Titel

Über die Autorin bzw. den Autor

Jose Casals is head of global risk management at Bankia. He is also an associate professor of econometrics at Universidad Complutense de Madrid.

Alfredo Garcia-Hiernaux is an associate professor of econometrics at Universidad Complutense de Madrid and a freelance consultant.

Miguel Jerez is an associate professor of econometrics at Universidad Complutense de Madrid and a freelance consultant. He was previously executive vice-president at Caja de Madrid for six years.

Sonia Sotoca is an associate professor of econometrics at Universidad Complutense de Madrid.

Drs. Casals, Garcia-Hiernaux, Jerez, and Sotoca are all engaged in a long-term research project to apply state-space techniques to standard econometric problems. Their common research interests include state-space methods and time series econometrics.

A. Alexandre (Alex) Trindade is a professor of statistics in the Department of Mathematics and Statistics at Texas Tech University and an adjunct professor in the Graduate School of Biomedical Sciences at Texas Tech University Health Sciences Center. His research spans a broad swath of theoretical and computational statistics.

Details zur Ausgabe

• Verlag: Chapman and Hall/CRC
• Erscheinungsdatum: 2016
• Sprache: Englisch
• ISBN 10: 148221959X
• ISBN 13: 9781482219593
• Einband: Gebundene Ausgabe
• Anzahl der Seiten: 298
• Kontakt zum Hersteller: CRC Press; https://www.routledge-ny.com; ; 6000 BROKEN SOUND PARKWAY, NW SUITE 300; BOCA RATON; FL; 33487; USA
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