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Time Series Analysis by State Space Methods (Hardcover, 2nd Revised edition) Loot Price: R3,496
Discovery Miles 34 960
Time Series Analysis by State Space Methods (Hardcover, 2nd Revised edition): James Durbin, Siem Jan Koopman

Time Series Analysis by State Space Methods (Hardcover, 2nd Revised edition)

James Durbin, Siem Jan Koopman

Series: Oxford Statistical Science Series, 38

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Loot Price R3,496 Discovery Miles 34 960 | Repayment Terms: R328 pm x 12*

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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.

General

Imprint: Oxford UniversityPress
Country of origin: United Kingdom
Series: Oxford Statistical Science Series, 38
Release date: May 2012
First published: August 2012
Authors: James Durbin • Siem Jan Koopman
Dimensions: 235 x 161 x 26mm (L x W x T)
Format: Hardcover
Pages: 368
Edition: 2nd Revised edition
ISBN-13: 978-0-19-964117-8
Categories: Books > Science & Mathematics > Mathematics > Probability & statistics
Books > Business & Economics > Economics > Econometrics > Economic statistics
Books > Science & Mathematics > Mathematics > Applied mathematics > Mathematics for scientists & engineers
Books > Science & Mathematics > Mathematics > Applied mathematics > Mathematical modelling
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LSN: 0-19-964117-X
Barcode: 9780199641178

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