Multivariate Time Series With Linear State Space Structure
This book presents a comprehensive study of multivariate time series with linear state space structure. The emphasis is put on both the clarity of the theoretical concepts and on efficient algorithms for implementing the theory. In particular, it investigates the relationship between VARMA and state...
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| Format: | eBook |
| Language: | English |
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Cham
Springer International Publishing
2016, 2016
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| Edition: | 1st ed. 2016 |
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| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
Table of Contents:
- Preface
- Computer Software
- Orthogonal Projection
- Linear Models
- Stationarity and Linear Time Series Models
- The State Space Model
- Time Invariant State Space Models
- Time Invariant State Space Models With Inputs
- Wiener–Kolmogorov Filtering and Smoothing
- SSMMATLAB
- Bibliography
- Author Index
- Subject Index