An introduction to state space time series analysis /

An introduction to state space time series analysis /

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Bibliographic Details
Author / Creator:	Commandeur, Jacques J. F.
Imprint:	Oxford : Oxford University Press, 2007.
Description:	1 online resource (xiv, 174 pages) : illustrations
Language:	English
Series:	Practical econometrics series Practical econometrics series.
Subject:	State-space methods. Time-series analysis. State-space methods. Time-series analysis. Electronic books.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/11158267

Hidden Bibliographic Details
Other authors / contributors:	Koopman, S. J. (Siem Jan)
ISBN:	9780191527944 0191527947 9780199228874 0199228876 9786611150174 661115017X 9781435618091 1435618092 1281150177 9781281150172
Notes:	Includes bibliographical references and index. English. Print version record.
Summary:	This text provides an introduction to time series analysis using state space methodology to readers who are neither familiar with time series analysis, nor with state space methods. This is the first in a series of books designed to provide practitioners, researchers, and students with practical introductions to various topics in econometrics. - ;Providing a practical introduction to state space methods as applied to unobserved components time series models, also known as structural time series models, this book introduces time series analysis using state space methodology to readers who are n.
Other form:	Print version: Commandeur, Jacques J.F. Introduction to state space time series analysis. Oxford : Oxford University Press, 2007 9780199228874 0199228876

Description
Summary:	Providing a practical introduction to state space methods as applied to unobserved components time series models, also known as structural time series models, this book introduces time series analysis using state space methodology to readers who are neither familiar with time series analysis, nor with state space methods. The only background required in order to understand the material presented in the book is a basic knowledge of classical linear regression models, of which a brief review is provided to refresh the reader's knowledge. Also, a few sections assume familiarity with matrix algebra, however, these sections may be skipped without losing the flow of the exposition. The book offers a step by step approach to the analysis of the salient features in time series such as the trend, seasonal, and irregular components. Practical problems such as forecasting and missing values are treated in some detail. This useful book will appeal to practitioners and researchers who use time series on a daily basis in areas such as the social sciences, quantitative history, biology and medicine. It also serves as an accompanying textbook for a basic time series course in econometrics and statistics, typically at an advanced undergraduate level or graduate level.
Physical Description:	1 online resource (xiv, 174 pages) : illustrations
Bibliography:	Includes bibliographical references and index.
ISBN:	9780191527944 0191527947 9780199228874 0199228876 9786611150174 661115017X 9781435618091 1435618092 1281150177 9781281150172