Multivariate Time Series With Linear State Space Structure
This book presents a comprehensive study of multivariate time series with linear state space structure. The emphasis is put on both the clarity of the theoretical concepts and on efficient algorithms for implementing the theory. In particular, it investigates the relationship between VARMA and state...
Κύριος συγγραφέας: | |
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Συγγραφή απο Οργανισμό/Αρχή: | |
Μορφή: | Ηλεκτρονική πηγή Ηλ. βιβλίο |
Γλώσσα: | English |
Έκδοση: |
Cham :
Springer International Publishing : Imprint: Springer,
2016.
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Θέματα: | |
Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- Preface
- Computer Software
- Orthogonal Projection
- Linear Models
- Stationarity and Linear Time Series Models
- The State Space Model
- Time Invariant State Space Models
- Time Invariant State Space Models With Inputs
- Wiener–Kolmogorov Filtering and Smoothing
- SSMMATLAB
- Bibliography
- Author Index
- Subject Index.