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Testing for Random Walk Coefficients in Regression and State Space Models

Testing for Random Walk Coefficients in Regression and State Space Models( )
Author: Moryson, M.
Series title:Contributions to Statistics Ser.
ISBN:978-3-7908-1132-2
Publication Date:Jan 1998
Publisher:Physica-Verlag
Book Format:Paperback
List Price:AUD $280.95
Book Description:

Regression and state space models with time varying coefficients are treated in a thorough manner. State space models are introduced as a means to model time varying regression coefficients. The Kalman filter and smoother recursions are explained in an easy to understand fashion. The main part of the book deals with testing the null hypothesis of constant regression coefficients against the alternative that they follow a random walk. Different exact and large sample tests are presented...
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Book Details
Pages:317
Detailed Subjects: Science / System Theory
Mathematics / Probability & Statistics / Stochastic Processes
Mathematics / Probability & Statistics / Regression Analysis
Physical Dimensions (W X L X H):15.5 x 23.5 cm
Book Weight:0.511 Kilograms



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