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Books > Business & Economics > Economics > Econometrics
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An Introduction to State Space Time Series Analysis (Hardcover, New)
Loot Price: R1,910
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An Introduction to State Space Time Series Analysis (Hardcover, New)
Series: Practical Econometrics
Expected to ship within 12 - 17 working days
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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 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.
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