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An introduction to state space time series analysis

Author: Jacques J F Commandeur; S J Koopman
Publisher: Oxford : Oxford Univ. Press, 2007.
Series: Practical econometrics.
Edition/Format:   Print book : English : 1. publView all editions and formats
Summary:

This text provides an introduction to time series analysis using state space methodology to readers who are neither familiar with time series analysis, nor with state space methods. This is the first  Read more...

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Jacques J F Commandeur; S J Koopman
ISBN: 0199228876 9780199228874
OCLC Number: 255599733
Description: XIV, 174 Seiten : Diagramme ; 24 cm.
Contents: 1. Introduction ; 2. The Local Level Model ; 3. The Local Linear Trend Model ; 4. The Local Level Model with Seasonal ; 5. The Local Level Model with Explanatory Variable ; 6. The Local Level Model with Intervention Variable ; 7. The UK Seat Belt and Inflation Models ; 8. General Treatment of Univariate State Space Models ; 9. Multivariate Time Series Analysis ; 10. State Space and Box-Jenkins Methods for Time Series Analysis ; 11. State Space Modelling in Practice ; 12. Conclusions ; Appendix A UK Drivers KSI and Petrol Price ; Appendix B Road Traffic Fatalities in Norway and Finland ; Appendix C UK Front and Rear Seat Passengers KSI ; Appendix D UK Price Changes
Series Title: Practical econometrics.
Responsibility: Jacques J.F. Commandeur ; Siem Jan Koopman.
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I really recommend this book. It is a very good read and it is very reasonably priced. * Paul Eilers, The Newsletter of the Dutch Classification Society * a fascinating read...excellent * CFA Read more...

 
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