Time Series Analysis by State Space Methods: No.24 (Oxford Statistical Science Series) - Hardcover

Durbin, James; Koopman, Siem Jan

 
9780198523543: Time Series Analysis by State Space Methods: No.24 (Oxford Statistical Science Series)
Hardcover
ISBN 10: 0198523548 ISBN 13: 9780198523543
Publisher: Clarendon Press, 2001

Synopsis

This excellent text provides a comprehensive treatment of the state space approach to time series analysis. The distinguishing feature of state space time series models is that observations are regarded as made up of distinct components such as trend, seasonal, regression elements and disturbence terms, each of which is modelled separately. The techniques that emerge from this approach are very flexible and are capable of handling a much wider range of problems than the main analytical system currently in use for time series analysis, the Box-Jenkins ARIMA system. The book provides an excellent source for the development of practical courses on time series analysis.

"synopsis" may belong to another edition of this title.

Review

... provides an up-to-date exposition and comprehensive treatment of state space models in time series analysis. (Journal of the Royal Statistical Society)

This book will be helpful to graduate students and applied statisticians working in the area of econometric modelling as well as researchers in the areas of engineering, medicine and biology where state space models are used. (Journal of the Royal Statistical Society)

... a good mixture of theory and practical applications ... graduate and research students will definitely enjoy this book. Also practitioners will find the book quite useful. I would also recommend it for library purchase. (Journal of the Royal Statistical Society)

Synopsis

This excellent text provides a comprehensive treatment of the state space approach to time series analysis. The distinguishing feature of state space time series models is that observations are regarded as made up of distinct components such as trend, seasonal, regression elements and disturbence terms, each of which is modelled separately. The techniques that emerge from this approach are very flexible and are capable of handling a much wider range of problems than the main analytical system currently in use for time series analysis, the Box-Jenkins ARIMA system. The book provides an excellent source for the development of practical courses on time series analysis.

"About this title" may belong to another edition of this title.

Publisher
Clarendon Press
Publication date
2001
Language
English
ISBN 10 
0198523548
ISBN 13 
9780198523543
Binding
Hardcover
Number of pages
272