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Time Series Analysis by State Space Methods (Hardcover, 2nd Revised edition)
Loot Price: R3,496
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Time Series Analysis by State Space Methods (Hardcover, 2nd Revised edition)
Series: Oxford Statistical Science Series, 38
Expected to ship within 12 - 17 working days
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This new edition updates Durbin & Koopman's important text on
the state space approach to time series analysis. The
distinguishing feature of state space time series models is that
observations are regarded as made up of distinct components such as
trend, seasonal, regression elements and disturbance terms, each of
which is modelled separately. The techniques that emerge from this
approach are very flexible and are capable of handling a much wider
range of problems than the main analytical system currently in use
for time series analysis, the Box-Jenkins ARIMA system. Additions
to this second edition include the filtering of nonlinear and
non-Gaussian series. Part I of the book obtains the mean and
variance of the state, of a variable intended to measure the effect
of an interaction and of regression coefficients, in terms of the
observations. Part II extends the treatment to nonlinear and
non-normal models. For these, analytical solutions are not
available so methods are based on simulation.
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