Time Series Analysis by State Space Methods
James Durbin, Siem Jan Koopman
Language: English
Published by Oxford University Press, GB, 2012
- Hardcover
- New
Seller: Rarewaves USA United, HEBRON, KY, U.S.A.Rarewaves USA United
AbeBooks seller since June 20, 2025
Condition: New
£ 149.63
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Add to basketItem description from seller
This new edition updates Durbin and Koopman's important text on 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 disturbance 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. Additions to this second edition include the filtering of nonlinear and non-Gaussian series.Part I of the book obtains the mean and variance of the state, of a variable intended to measure the effect of an interaction and of regression coefficients, in terms of the observations.Part II extends the treatment to nonlinear and non-normal models. For these, analytical solutions are not available so methods are based on simulation.…
Seller Inventory # LU-9780199641178
- Title
- Time Series Analysis by State Space Methods
- Author
- James Durbin, Siem Jan Koopman
- Publisher
- Oxford University Press, GB
- Publication year
- 2012
- Condition
- New
- Binding
- Hardback
- Language
- English
- ISBN 10
- 019964117X
- ISBN 13
- 9780199641178
- Edition
- 2nd Edition
- Item weight
- 680 grams
- Series
- Book 7 of 8: Oxford Statistical Science
"Synopsis" may belong to another edition of this title.
About the Author
Siem Jan Koopman has been Professor of Econometrics at the Free University in Amsterdam and research fellow at the Tinbergen Institute since 1999. He fullfills editorial duties at the Journal of Applied Econometrics, the Journal of Forecasting, the Journal of Multivariate Analysis and Statistica Sinica.
"About the title" may belong to another edition of this title.
Rarewaves USA United
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AbeBooks seller since June 20, 2025
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