Overview
- Provides a comprehensive account of both theory and algorithms for time series and linear state space models
- Refers to a webpage with algorithms programmed in MATLAB and numerous examples
- Studies the relationship between VARMA and state space models and between Wiener-Kolmogorov theory and Kalman filtering
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Table of contents (8 chapters)
Keywords
About this book
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 space models, including canonical forms. It also highlights the relationship between Wiener-Kolmogorov and Kalman filtering both with an infinite and a finite sample. The strength of the book also lies in the numerous algorithms included for state space models that take advantage of the recursive nature of the models. Many of these algorithms can be made robust, fast, reliable and efficient. The book is accompanied by a MATLAB package called SSMMATLAB and a webpage presenting implemented algorithms with many examples and case studies. Though it lays a solid theoretical foundation, the book also focuses on practical application, and includes exercises in each chapter. It is intendedfor researchers and students working with linear state space models, and who are familiar with linear algebra and possess some knowledge of statistics.
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Authors and Affiliations
About the author
Dr. Víctor Gómez is a statistician and technical advisor at the Spanish Ministry of Finance and Public Administrations in Madrid. His professional activity involves statistical, econometric and, above all, time series analysis of macroeconomic data, mostly in connection with short term economic analysis. More recently, he has focused on research in the field of time series analysis and the development of software for time series analysis. He has also taught numerous courses on time series analysis and related topics such as short-term forecasting, seasonal adjustment methods or time series filtering.
Bibliographic Information
Book Title: Multivariate Time Series With Linear State Space Structure
Authors: Víctor Gómez
DOI: https://doi.org/10.1007/978-3-319-28599-3
Publisher: Springer Cham
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer International Publishing Switzerland 2016
Hardcover ISBN: 978-3-319-28598-6Published: 23 May 2016
Softcover ISBN: 978-3-319-80385-2Published: 26 May 2018
eBook ISBN: 978-3-319-28599-3Published: 09 May 2016
Edition Number: 1
Number of Pages: XVII, 541
Topics: Statistical Theory and Methods, Statistics and Computing/Statistics Programs, Probability Theory and Stochastic Processes, Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences, Econometrics, Statistics for Business, Management, Economics, Finance, Insurance