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Testing for random walk coefficients in regression and state space models /

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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 th...

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Bibliographic Details
Main Author: Moryson, Martin, 1964-
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Heidelberg ; New York : Physica-Verlag, [1998]
Series:Contributions to statistics.
Subjects:
System analysis.
Random walks (Mathematics)
State-space methods.
Regression analysis.
Trayectoria aleatoria (Matemáticas)
Métodos estado espacio.
Análisis de regresión.
Random walks (statistiek)
Regressieanalyse.
Toestandsruimtemethode.
Monte Carlo-methode.
Systèmes, Analyse de.
Marches aléatoires (mathématiques)
Espace des états, Méthodes de l'.
Electronic books.
Online Access:Connect to the full text of this electronic book

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