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State-space methods for time series analysis : theory, applications and software

Author: Jose Casals
Publisher: Boca Raton, FL : CRC Press, [2016] ©20
Series: Monographs on statistics and applied probability (Series), 149.
Edition/Format:   eBook : Document : EnglishView all editions and formats
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Genre/Form: Electronic books
Additional Physical Format: Print version:
State-space methods for time series analysis.
[Place of publication not identified] : Chapman & Hall Crc, 2016
(OCoLC)913768081
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Jose Casals
ISBN: 9781482219609 1482219603 9781498787352 1498787355
OCLC Number: 945552731
Description: 1 online resource.
Contents: 1. Introduction --
2. Linear state-space models --
3. Model transformations --
4. Filtering and smoothing --
5. Likelihood computation for fixed-coefficients models --
6. The likelihood of models with varying parameters --
7. Subspace methods --
8. Signal extraction --
9. The VARMAX representation of a state-space model --
10. Aggregation and disaggregation of time series --
11. Cross-sectional extension : longitudinal and panel data.
Series Title: Monographs on statistics and applied probability (Series), 149.
Responsibility: Jose Casala, Universidad Complutense de Madrid, Spain [and three others].

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"The way the authors of describe their book, it is the fruit of a long-lasting love affair with state space models, which started in the 1980s, inspired by the work of Box and Jenkins. Judging from Read more...

 
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