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Linear Time Series with MATLAB and OCTAVE

Other topics discussed in the book include ARIMA; and transfer function and structural models; as well as signal extraction using the canonical decomposition in the univariate case, and VAR, VARMA, cointegrated VARMA, VARX, VARMAX, and multivariate structural models in the multivariate case. It also...

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Bibliographic Details
Main Author: Gómez, Víctor
Format: eBook
Language:English
Published: Cham Springer International Publishing 2019, 2019
Edition:1st ed. 2019
Series:Statistics and Computing
Subjects:
Statistics 
Social Sciences / Statistical Methods
Statistics In Business, Management, Economics, Finance, Insurance
Computer Software
Statistics In Engineering, Physics, Computer Science, Chemistry And Earth Sciences
Econometrics
Mathematical Statistics / Data Processing
Statistics And Computing
Mathematical Software
Statistics In Social Sciences, Humanities, Law, Education, Behavorial Sciences, Public Policy
Online Access:
Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
Table of Contents:
  • Preface
  • Software Installation
  • Stationarity, VARMA and ARIMA Models
  • VARMAX and Transfer Function Models
  • Unobserved Components in Univariate Series
  • Spectral Analysis
  • Computing Echelon Forms by Polynomial Methods
  • Multivariate Structural Models
  • Cointegrated VARMA Models
  • Simulation of Common Univariate and Multivariate Models
  • The State Space Model
  • SSMMATLAB Examples by Subject
  • Author Index
  • Subject Index

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