State-Space Methods for Time Series Analysis Theory, Applications and Software |
|
| Author:
| Casals, José
Garcia-Hiernaux, Alfredo
Jerez, Miguel
Sotoca, Sonia
Trindade, A. Alexandre |
| Series title: | Chapman and Hall/CRC Monographs on Statistics and Applied Probability Ser. |
| ISBN: | 978-1-315-36025-6 |
| Publication Date: | Sep 2018 |
| Publisher: | CRC Press LLC
|
| Imprint: | Chapman & Hall/CRC |
| Book Format: | Digital (delivered electronically) |
| List Price: | USD $59.95USD $175.00USD $130.00 |
Book Description:
|
Exploring the advantages of the state-space approach, this book presents numerous computational procedures that can be applied to a previously specified linear model in state-space form. It discusses model estimation and signal extraction; describes many procedures to combine, decompose, aggregate, and disaggregate a state-space form; and covers the connection between mainstream time series models and the state-space representation. Source code, a complete user manual, and other...
More Description
Exploring the advantages of the state-space approach, this book presents numerous computational procedures that can be applied to a previously specified linear model in state-space form. It discusses model estimation and signal extraction; describes many procedures to combine, decompose, aggregate, and disaggregate a state-space form; and covers the connection between mainstream time series models and the state-space representation. Source code, a complete user manual, and other materials related to the authors' MATLAB® toolbox are available on a supplementary website.