State Space Modeling of Time Series / by Masanao Aoki.
Model's predictive capability? These are some of the questions that need to be answered in proposing any time series model construction method. This book addresses these questions in Part II. Briefly, the covariance matrices between past data and future realizations of time series are used to b...
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Full Text (via Springer) |
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| Main Author: | |
| Format: | eBook |
| Language: | English |
| Published: |
Berlin, Heidelberg :
Springer Berlin Heidelberg,
1987.
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| Series: | Universitext.
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| Subjects: |
Table of Contents:
- Introduction
- The Notion of State
- Representation of Time Series
- State Space and ARMA Representation
- Properties of State Space Models
- Innovation Processes
- Kalman Filters
- State Vectors and Optimality Measures
- Computation of System Matrices
- Approximate Models and Error Analysis
- Numerical Examples
- Appendices
- References
- Subject Index.