Time Series Analysis by State Space Methods: Second Edition

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9780199641178: Time Series Analysis by State Space Methods: Second Edition

This new edition updates Durbin & Koopman's important text on the state space approach to time series analysis. The distinguishing feature of state space time series models is that observations are regarded as made up of distinct components such as trend, seasonal, regression elements and disturbance terms, each of which is modelled separately. The techniques that emerge from this approach are very flexible and are capable of handling a much wider range of problems than the main analytical system currently in use for time series analysis, the Box-Jenkins ARIMA system. Additions to this second edition include the filtering of nonlinear and non-Gaussian series.

Part I of the book obtains the mean and variance of the state, of a variable intended to measure the effect of an interaction and of regression coefficients, in terms of the observations.

Part II extends the treatment to nonlinear and non-normal models. For these, analytical solutions are not available so methods are based on simulation.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

Book Description:

Review from previous edition ...provides an up-to-date exposition and comprehensive treatment of state space models in time series analysis...This book will be helpful to graduate students and applied statisticians working in the area of econometric modelling as well as researchers in the areas of engineering, medicine and biology where state space models are used. ( Journal of the Royal Statistical Society)

About the Author:

The late James Durbin was Professor of Statistics at the London School of Economics, President of the Royal Statistical Society and President of the International Statistical Institute. He was awarded the society's bronze, silver and gold medals for his contribution to statistics. He was a fellow of the British Academy.

Siem Jan Koopman has been Professor of Econometrics at the Free University in Amsterdam and research fellow at the Tinbergen Institute since 1999. He fullfills editorial duties at the Journal of Applied Econometrics, the Journal of Forecasting, the Journal of Multivariate Analysis and Statistica Sinica.

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Descrizione libro Condizione libro: New. Brand New. US Edition Book. We do not ship to Military Addresses. Fast Shipping with Order Tracking. For Standard Shipping 7-8 business days & Expedite Shipping 4-6 business days, after shipping. Codice libro della libreria 019964117X-RMX

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Descrizione libro Oxford University Press, United Kingdom, 2012. Hardback. Condizione libro: New. 2nd Revised edition. 242 x 162 mm. Language: English . Brand New Book. This new edition updates Durbin Koopman s important text on the state space approach to time series analysis. The distinguishing feature of state space time series models is that observations are regarded as made up of distinct components such as trend, seasonal, regression elements and disturbance terms, each of which is modelled separately. The techniques that emerge from this approach are very flexible and are capable of handling a much wider range of problems than the main analytical system currently in use for time series analysis, the Box-Jenkins ARIMA system. Additions to this second edition include the filtering of nonlinear and non-Gaussian series. Part I of the book obtains the mean and variance of the state, of a variable intended to measure the effect of an interaction and of regression coefficients, in terms of the observations. Part II extends the treatment to nonlinear and non-normal models. For these, analytical solutions are not available so methods are based on simulation. Codice libro della libreria AOP9780199641178

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Durbin, The late James; Koopman, Siem Jan
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Descrizione libro Oxford University Press, United Kingdom, 2012. Hardback. Condizione libro: New. 2nd Revised edition. 242 x 162 mm. Language: English . Brand New Book. This new edition updates Durbin Koopman s important text on the state space approach to time series analysis. The distinguishing feature of state space time series models is that observations are regarded as made up of distinct components such as trend, seasonal, regression elements and disturbance terms, each of which is modelled separately. The techniques that emerge from this approach are very flexible and are capable of handling a much wider range of problems than the main analytical system currently in use for time series analysis, the Box-Jenkins ARIMA system. Additions to this second edition include the filtering of nonlinear and non-Gaussian series. Part I of the book obtains the mean and variance of the state, of a variable intended to measure the effect of an interaction and of regression coefficients, in terms of the observations. Part II extends the treatment to nonlinear and non-normal models. For these, analytical solutions are not available so methods are based on simulation. Codice libro della libreria AOP9780199641178

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Descrizione libro Oxford University Press 2012-05-03, Oxford, 2012. hardback. Condizione libro: New. Codice libro della libreria 9780199641178

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Descrizione libro Oxford University Press. Hardback. Condizione libro: new. BRAND NEW, Time Series Analysis by State Space Methods (2nd Revised edition), James Durbin, Siem Jan Koopman, This new edition updates Durbin & Koopman's important text on the state space approach to time series analysis. The distinguishing feature of state space time series models is that observations are regarded as made up of distinct components such as trend, seasonal, regression elements and disturbance terms, each of which is modelled separately. The techniques that emerge from this approach are very flexible and are capable of handling a much wider range of problems than the main analytical system currently in use for time series analysis, the Box-Jenkins ARIMA system. Additions to this second edition include the filtering of nonlinear and non-Gaussian series. Part I of the book obtains the mean and variance of the state, of a variable intended to measure the effect of an interaction and of regression coefficients, in terms of the observations. Part II extends the treatment to nonlinear and non-normal models. For these, analytical solutions are not available so methods are based on simulation. Codice libro della libreria B9780199641178

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Descrizione libro Oxford Univ Pr (Txt), 2012. Condizione libro: New. Brand New, Unread Copy in Perfect Condition. A+ Customer Service!. Codice libro della libreria ABE_book_new_019964117X

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Descrizione libro OUP Oxford, 2012. HRD. Condizione libro: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Codice libro della libreria FU-9780199641178

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Descrizione libro Oxford Univ Pr (Txt), 2012. Condizione libro: New. This new edition updates Durbin & Koopman's important text on the state space approach to time series analysis providing a more comprehensive treatment, including the filtering of nonlinear and non-Gaussian series. The book provides an excellent source for the development of practical courses on time series analysis. Series: Oxford Statistical Science Series. Num Pages: 368 pages, 34 b/w illustrations. BIC Classification: PBT. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly. Dimension: 236 x 162 x 25. Weight in Grams: 678. . 2012. 2nd Edition. Hardcover. . . . . . Codice libro della libreria V9780199641178

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Descrizione libro OUP Oxford 2012-05-03, 2012. Condizione libro: New. Brand new book, sourced directly from publisher. Dispatch time is 24-48 hours from our warehouse. Book will be sent in robust, secure packaging to ensure it reaches you securely. Codice libro della libreria NU-LBR-01121266

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