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Smoothness priors analysis of time series /

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Bibliographic Details
Main Author: Kitagawa, G. (Genshiro), 1948-
Other Authors: Gersch, Will
Format: Book
Language:English
Published: New York : Springer, 1996.
Series:Lecture notes in statistics (Springer-Verlag) ; v. 116.
Subjects:
Time-series analysis.
Séries chronologiques.
Statistische methoden.
Tijdreeksen.
Série chronologique.
Zeitreihenanalyse.
Online Access:Publisher description
Table of Contents:
  • 1. Introduction
  • 2. Modeling Concepts and Methods
  • 3. The Smoothness Priors Concept
  • 4. Scalar Least Squares Modeling
  • 5. Linear Gaussian State Space Modeling
  • 6. General State Space Modeling
  • 7. Applications of Linear Gaussian State Space Modeling
  • 8. Modeling Trends
  • 9. Seasonal Adjustment
  • 10. Estimation of Time Varying Variance
  • 11. Modeling Scalar Nonstationary Covariance Time Series
  • 12. Modeling Multivariate Nonstationary Covariance Time Series
  • 13. Modeling Inhomogeneous Discrete Processes
  • 14. Quasi-Periodic Process Modeling
  • 15. Nonlinear Smoothing
  • 16. Other Applications.