MULTIVARIATE TIME SERIES WITH LINEAR STATE SPACE STRUCTURE by Victor Gomez ( 9783319285986 )

Item Details

Title:

MULTIVARIATE TIME SERIES WITH LINEAR STATE SPACE STRUCTURE

By:

Format:

Hardback

List price:	£99.99
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ISBN 10:

331928598X

ISBN 13:

9783319285986

Publisher:

SPRINGER INTERNATIONAL PUBLISHING AG

Pub. date:

10 May, 2016

Edition:

1st ed. 2016

Pages:

541

Synopsis:

This book presents a comprehensive study of multivariate time serieswith linear state space structure. The emphasis is put on both the clarity of thetheoretical concepts and on efficient algorithms for implementing the theory. In particular, it investigates the relationship between VARMA and statespace models, including canonical forms. It also highlights the relationshipbetween Wiener-Kolmogorov and Kalman filtering both with an infinite and afinite sample. The strength of the book also lies in the numerous algorithms includedfor state space models that take advantage of the recursive nature of themodels. Many of these algorithms can be made robust, fast, reliable andefficient. The book is accompanied by a MATLAB package called SSMMATLAB and awebpage presenting implemented algorithms with many examples and case studies. Thoughit lays a solid theoretical foundation, the book also focuses on practicalapplication, and includes exercises in each chapter. It is intended forresearchers and students working with linear state space models, and who arefamiliar with linear algebra and possess some knowledge of statistics.

Illustrations:

XVII, 541 p.

Publication:

Switzerland

Imprint:

Springer International Publishing AG

Returns:

Returnable

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