State Space Modeling of Time Series

✍ Scribed by Prof. Masanao Aoki (auth.)

Publisher: Springer Berlin Heidelberg
Year: 1987
Tongue: English
Leaves: 323
Series: Universitext
Category: Library

No coin nor oath required. For personal study only.

✦ Table of Contents

Front Matter....Pages I-XI
Introduction....Pages 1-2
The Notion of State....Pages 3-8
Representation of Time Series....Pages 9-29
State Space and ARMA Representation....Pages 30-57
Properties of State Space Models....Pages 58-84
Innovation Processes....Pages 85-89
Kalman Filters....Pages 90-110
State Vectors and Optimality Measures....Pages 111-118
Computation of System Matrices....Pages 119-148
Approximate Models and Error Analysis....Pages 149-176
Numerical Examples....Pages 177-228
Erratum to: Properties of State Space Models....Pages 315-315
Erratum to: Computation of System Matrices....Pages 315-315
Erratum....Pages 315-315
Back Matter....Pages 229-314

✦ Subjects

Economic Theory

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