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State Space Modeling of Time Series by Masanao Aoki (Paperback, 1990)
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About this product
Product Information
The author adopts a state space approach to time series modelling in this volume to provide a new, computer-orientated method for building models for vector-valued time series. Background material leading up to the two types of estimators of the state space models is collected and presented coherently in four consecutive chapters. This edition has been revised to provide more comprehensive descriptions of state space models for autoregressive models commonly used in the econometric and statistical literature. Backward innovation models are introduced in addition to the forward innovation models, and both are used to construct instrumental variable estimators for the model matrices. Further items in this edition include statistical properties of these two types of estimators, more details on multiplier analysis and the identification of structural models using estimated models, incorporation of exogenous signals and choice of model size. A chapter is devoted to the modelling of integrated, nearly integrated and co-integrated time series.Product Identifiers
PublisherSpringer-Verlag Berlin AND Heidelberg Gmbh & Co. KG
ISBN-139783540528708
eBay Product ID (ePID)87071518
Product Key Features
Number of Pages323 Pages
Publication NameState Space Modeling of Time Series
LanguageEnglish
SubjectEconomics, Engineering & Technology, Mathematics, Management
Publication Year1990
TypeTextbook
Subject AreaData Analysis
AuthorMasanao Aoki
SeriesUniversitext
FormatPaperback
Dimensions
Item Height242 mm
Item Weight600 g
Item Width170 mm
Additional Product Features
Country/Region of ManufactureGermany
Title_AuthorMasanao Aoki
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