State Space Modelling of Time Series - Rilegato

Aoki, Masanao

Rilegato

ISBN 10: 3540528695 ISBN 13: 9783540528692

Casa editrice: Springer-Verlag Berlin and Heidelberg GmbH & Co. K, 1990

Riassunto

The author adopts a state space approach to time series modelling in this volume to provide a new, computer-orientated method for building models for vector-valued time series. Background material leading up to the two types of estimators of the state space models is collected and presented coherently in four consecutive chapters. This edition has been revised to provide more comprehensive descriptions of state space models for autoregressive models commonly used in the econometric and statistical literature. Backward innovation models are introduced in addition to the forward innovation models, and both are used to construct instrumental variable estimators for the model matrices. Further items in this edition include statistical properties of these two types of estimators, more details on multiplier analysis and the identification of structural models using estimated models, incorporation of exogenous signals and choice of model size. A chapter is devoted to the modelling of integrated, nearly integrated and co-integrated time series.

Dettagli dell?edizione

• Editore: Springer-Verlag Berlin and Heidelberg GmbH & Co. K
• Data di pubblicazione: 1990
• Lingua: Inglese
• ISBN 10: 3540528695
• ISBN 13: 9783540528692
• Rilegatura: Copertina rigida
• Numero edizione: 2
• Numero di pagine: 341
• Contatto del produttore: non disponibile
• Persona responsabile: CMN Printpool Inh. Mathis Neumann; https://www.also.com/ec/cms5/en_6000/6000/index.jsp; ; Friedrich-Karl-Str. 9; Hamburg; Germania