Octavo; 2nd, revised and enlarged edition; VG; Paperback; Spine, grey with yellow print; Cover is grey with yellow print, clean and bright; Text block clean and tight; xvii, 323 pages, illustrated "with 13 figures". 1364359. FP New Rockville Stock.

Bestandsnummer des Verk�ufers 1364359

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Bibliografische Details

Titel

STATE SPACE MODELING OF TIME SERIES

Verlag

Springer-Verlag, Berlin

Ver�ffentlichungsdatum

1990

Sprache

Englisch

ISBN-10

3540528709

ISBN-13

9783540528708

Bindung

Softcover

Ausgabe

Second, revised and enlarged edition.

Verk�uferkataloge

Sciences, Math, Medicine, & Natural History

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Inhaltsangabe

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.

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