State-space methods for time series analysis theory, applications and software
The state-space approach provides a formal framework where any result or procedure developed for a basic model can be seamlessly applied to a standard formulation written in state-space form. Moreover, it can accommodate with a reasonable effort nonstandard situations, such as observation errors, ag...
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| Main Authors: | , , |
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| Other Authors: | , |
| Format: | Book |
| Language: | English |
| Published: |
Boca Raton, FL
CRC Press, Taylor & Francis Group
[2016]
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| Series: | Monographs on statistics and applied probability (Series) ; v 149
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| Subjects: | |
| Tags: |
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| Summary: | The state-space approach provides a formal framework where any result or procedure developed for a basic model can be seamlessly applied to a standard formulation written in state-space form. Moreover, it can accommodate with a reasonable effort nonstandard situations, such as observation errors, aggregation constraints, or missing in-sample values |
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| Item Description: | "A Chapman & Hall Book" |
| Physical Description: | xxvii, 269 pages illustrations 24 cm. |
| Bibliography: | Includes bibliographical references and index |
| ISBN: | 9781482219593 (Hardback) |