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Time series analysis by state space methods /

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This is a comprehensive treatment of the state space approach to time series analysis. A distinguishing feature of state space time series models is that observations are regarded as made up of distinct components, which are each modelled separately.

Bibliographic Details
Main Authors: Durbin, J. (James), 1923-2012 (Author), Koopman, S. J. (Siem Jan) (Author)
Format: eBook
Language:English
Published: Oxford : Oxford University Press, 2012.
Edition:Second edition.
Series:Oxford statistical science series ; 38.
Subjects:
Time-series analysis.
State-space methods.
Série chronologique.
Méthodes de l'espace état.
MATHEMATICS > Probability & Statistics > Time Series.
State-space methods
Time-series analysis
Electronic books.
Online Access:Connect to the full text of this electronic book
Description
Summary:This is a comprehensive treatment of the state space approach to time series analysis. A distinguishing feature of state space time series models is that observations are regarded as made up of distinct components, which are each modelled separately.
Physical Description:1 online resource (xxi, 346 pages) : illustrations
Bibliography:Includes bibliographical references and indexes.
ISBN:9780191627187
0191627186
9780191774881
019177488X
019964117X
9780199641178