Linear Time Series with MATLAB and OCTAVE

• Main Author: Gómez, Víctor (Author, http://id.loc.gov/vocabulary/relators/aut)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2019.
• Edition: 1st ed. 2019.
• Series: Statistics and Computing,
• Subjects: Statistics .; Econometrics.; Computer software.; Statistics and Computing/Statistics Programs.; Statistics for Social Sciences, Humanities, Law.; Mathematical Software.; Statistics for Business, Management, Economics, Finance, Insurance.; Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences.

This book presents an introduction to linear univariate and multivariate time series analysis, providing brief theoretical insights into each topic, and from the beginning illustrating the theory with software examples. As such, it quickly introduces readers to the peculiarities of each subject from...

Table of Contents:

• Preface
• Software Installation
• Stationarity, VARMA and ARIMA Models
• VARMAX and Transfer Function Models
• Unobserved Components in Univariate Series
• Spectral Analysis
• Computing Echelon Forms by Polynomial Methods
• Multivariate Structural Models
• Cointegrated VARMA Models
• Simulation of Common Univariate and Multivariate Models
• The State Space Model
• SSMMATLAB Examples by Subject
• Author Index
• Subject Index.