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Introduction to State Space Time Series Analysis
Contributor(s): Koopman, Siem Jan (Author), Commandeur, Jacques J. F. (Author)

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 ISBN: 0199228876     ISBN-13: 9780199228874
Publisher: OUP Oxford
OUR PRICE: $81.70  

Binding Type: Hardcover
Published: August 2007
Qty:
Additional Information
BISAC Categories:
- Business & Economics | Econometrics
- Mathematics | Probability & Statistics - General
Dewey: 519.55
LCCN: 2007299410
Physical Information: 0.8" H x 6.3" W x 9.2" L (0.95 lbs) 240 pages
Features: Bibliography, Illustrated, Index
 
Descriptions, Reviews, Etc.
Publisher Description:
Providing a practical introduction to state space methods as applied to unobserved components time series models, also known as structural time series models, this book introduces time series analysis using state space methodology to readers who are neither familiar with time series analysis,
nor with state space methods. The only background required in order to understand the material presented in the book is a basic knowledge of classical linear regression models, of which brief review is provided to refresh the reader's knowledge. Also, a few sections assume familiarity with matrix
algebra, however, these sections may be skipped without losing the flow of the exposition.

The book offers a step by step approach to the analysis of the salient features in time series such as the trend, seasonal, and irregular components. Practical problems such as forecasting and missing values are treated in some detail. This useful book will appeal to practitioners and researchers
who use time series on a daily basis in areas such as the social sciences, quantitative history, biology and medicine. It also serves as an accompanying textbook for a basic time series course in econometrics and statistics, typically at an advanced undergraduate level or graduate level.
 
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