State Space Modeling of Time Series:
Saved in:
| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Berlin, Heidelberg
Springer Berlin Heidelberg
1990
|
| Edition: | Second, Revised and Enlarged Edition |
| Series: | Universitext
|
| Subjects: | |
| Links: | https://doi.org/10.1007/978-3-642-75883-6 |
| Item Description: | In this book, the author adopts a state space approach to time series modeling to provide a new, computer-oriented method for building models for vector-valued time series. This second edition has been completely reorganized and rewritten. Background material leading up to the two types of estimators of the state space models is collected and presented coherently in four consecutive chapters. New, fuller descriptions are given of state space models for autoregressive models commonly used in the econometric and statistical literature. Backward innovation models are newly introduced in this edition in addition to the forward innovation models, and both are used to construct instrumental variable estimators for the model matrices. Further new items in this edition include statistical properties of the two types of estimators, more details on multiplier analysis and identification of structural models using estimated models, incorporation of exogenous signals and choice of model size. A whole new chapter is devoted to modeling of integrated, nearly integrated and co-integrated time series |
| Physical Description: | 1 Online-Ressource (XVII, 323 p) |
| ISBN: | 9783642758836 9783540528708 |
| ISSN: | 0172-5939 |
| DOI: | 10.1007/978-3-642-75883-6 |
Staff View
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Record in the Search Index
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| building | Verbundindex |
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| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
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| edition | Second, Revised and Enlarged Edition |
| format | Electronic eBook |
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| id | DE-604.BV042422982 |
| illustrated | Not Illustrated |
| indexdate | 2024-12-20T17:10:47Z |
| institution | BVB |
| isbn | 9783642758836 9783540528708 |
| issn | 0172-5939 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-027858399 |
| oclc_num | 1165545820 |
| open_access_boolean | |
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| owner_facet | DE-384 DE-703 DE-91 DE-BY-TUM DE-634 |
| physical | 1 Online-Ressource (XVII, 323 p) |
| psigel | ZDB-2-SMA ZDB-2-BAE ZDB-2-SMA_Archive |
| publishDate | 1990 |
| publishDateSearch | 1990 |
| publishDateSort | 1990 |
| publisher | Springer Berlin Heidelberg |
| record_format | marc |
| series2 | Universitext |
| spellingShingle | Aoki, Masanao State Space Modeling of Time Series Economics Statistics Engineering mathematics Operations research Economics/Management Science Economic Theory Operation Research/Decision Theory Statistics, general Appl.Mathematics/Computational Methods of Engineering Management Statistik Wirtschaft Modell (DE-588)4039798-1 gnd Zeitreihe (DE-588)4127298-5 gnd Zustandsraum (DE-588)4132647-7 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd Datenanalyse (DE-588)4123037-1 gnd |
| subject_GND | (DE-588)4039798-1 (DE-588)4127298-5 (DE-588)4132647-7 (DE-588)4067486-1 (DE-588)4123037-1 |
| title | State Space Modeling of Time Series |
| title_auth | State Space Modeling of Time Series |
| title_exact_search | State Space Modeling of Time Series |
| title_full | State Space Modeling of Time Series by Masanao Aoki |
| title_fullStr | State Space Modeling of Time Series by Masanao Aoki |
| title_full_unstemmed | State Space Modeling of Time Series by Masanao Aoki |
| title_short | State Space Modeling of Time Series |
| title_sort | state space modeling of time series |
| topic | Economics Statistics Engineering mathematics Operations research Economics/Management Science Economic Theory Operation Research/Decision Theory Statistics, general Appl.Mathematics/Computational Methods of Engineering Management Statistik Wirtschaft Modell (DE-588)4039798-1 gnd Zeitreihe (DE-588)4127298-5 gnd Zustandsraum (DE-588)4132647-7 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd Datenanalyse (DE-588)4123037-1 gnd |
| topic_facet | Economics Statistics Engineering mathematics Operations research Economics/Management Science Economic Theory Operation Research/Decision Theory Statistics, general Appl.Mathematics/Computational Methods of Engineering Management Statistik Wirtschaft Modell Zeitreihe Zustandsraum Zeitreihenanalyse Datenanalyse |
| url | https://doi.org/10.1007/978-3-642-75883-6 |
| work_keys_str_mv | AT aokimasanao statespacemodelingoftimeseries |