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: | |
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| 008 | 221104 20162016flua bi 001 0 eng d | ||
| 020 | |a 9781482219593 (Hardback) | ||
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| 040 | |a UPNM |b eng |c UPNM |e rda | ||
| 090 | |a QA 280 |b .C27 2016 | ||
| 100 | 1 | |a Casals, Jose |e author | |
| 245 | 1 | 0 | |a State-space methods for time series analysis |b theory, applications and software |c Jose Casals, Alfredo Garcia-Hiernaux, Miguel Jerez, Sonia Sotoca, A. Alexandre Trindade |
| 264 | 1 | |a Boca Raton, FL |b CRC Press, Taylor & Francis Group |c [2016] | |
| 264 | 4 | |c ©2016 | |
| 300 | |a xxvii, 269 pages |b illustrations |c 24 cm. | ||
| 336 | |a text |2 rdacontent | ||
| 337 | |a unmediated |2 rdamedia | ||
| 338 | |a volume |2 rdacarrier | ||
| 490 | 1 | |a Monographs on statistics and applied probability |v 149 | |
| 500 | |a "A Chapman & Hall Book" | ||
| 504 | |a Includes bibliographical references and index | ||
| 505 | 0 | |a 1. Introduction -- 2. Linear state-space models -- 3. Model transformations -- 4. Filtering and smoothing -- 5. Likelihood computation for fixed-coefficients models -- 6. The likelihood of models with varying parameters -- 7. Subspace methods -- 8. Signal extraction -- 9. The VARMAX representation of a state-space model -- 10. Aggregation and disaggregation of time series -- 11. Cross-sectional extension : longitudinal and panel data | |
| 520 | |a 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 | ||
| 592 | |a 32586 |b 8/12/2016 |c RM 337.69 |h Bookline | ||
| 650 | 0 | |a Time-series analysis | |
| 650 | 0 | |a State-Space methods | |
| 700 | 1 | |a Garcia-Hiernaux, Alfredo |e author | |
| 700 | 1 | |a Jerez, Miguel |e author | |
| 700 | 1 | |a Sotoca, Sonia, e author | |
| 700 | 1 | |a Trindade, A. Alexandre, e author. | |
| 830 | 0 | |a Monographs on statistics and applied probability (Series) ; v 149 | |
| 999 | |a vtls000057297 |c 101728 |d 101728 | ||