Multivariate Time Series With Linear State Space Structure

• Main Author: Gómez, Víctor (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2016.
• Subjects: Statistics.; Probabilities.; Econometrics.; Statistical Theory and Methods.; Statistics and Computing/Statistics Programs.; Probability Theory and Stochastic Processes.; Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences.; Statistics for Business/Economics/Mathematical Finance/Insurance.

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...

Table of Contents:

• 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.