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An introduction to state space time series analysis

Author: Jacques J F Commandeur; S J Koopman
Publisher: Oxford : Oxford University Press, 2007.
Series: Practical econometrics series.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:
"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  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: 9780199228874 0199228876
OCLC Number: 123374304
Description: xiv, 174 pages : illustrations ; 24 cm.
Contents: The local level model --
The local linear trend model --
The local lvel model with seasonal --
The local level model with explanatory variable --
The local level model with intervention variable --
The UK seat belt and inflation models --
General treatment of univariate state space models --
Multivariate time series analysis --
State space and Box-Jenkins methods for time series analysis --
State space modelling in practice --
Conclusions.
Series Title: Practical econometrics series.
Responsibility: Jacques J.F. Commandeur, Siem Jan Koopman.
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Abstract:

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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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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