State Space Modeling of Time Series (Paperback, Softcover reprint of the original 2nd ed. 1990)

In this book, the author adopts a state space approach to time series modeling to provide a new, computer-oriented method for building models for vector-valued time series. This second edition has been completely reorganized and rewritten. Background material leading up to the two types of estimators of the state space models is collected and presented coherently in four consecutive chapters. New, fuller descriptions are given of state space models for autoregressive models commonly used in the econometric and statistical literature. Backward innovation models are newly introduced in this edition in addition to the forward innovation models, and both are used to construct instrumental variable estimators for the model matrices. Further new items in this edition include statistical properties of the two types of estimators, more details on multiplier analysis and identification of structural models using estimated models, incorporation of exogenous signals and choice of model size. A whole new chapter is devoted to modeling of integrated, nearly integrated and co-integrated time series.

General

Imprint:	Springer-Verlag
Country of origin:	Germany
Series:	Universitext
Release date:	August 1990
First published:	1990
Authors:	Masanao Aoki
Dimensions:	242 x 170 x 19mm (L x W x T)
Format:	Paperback
Pages:	323
Edition:	Softcover reprint of the original 2nd ed. 1990
ISBN-13:	978-3-540-52870-8
Categories:	Books > Science & Mathematics > Mathematics > Probability & statistics Books > Computing & IT > General theory of computing > General Books > Computing & IT > Applications of computing > General Books > Business & Economics > Economics > Econometrics > General Promotions
LSN:	3-540-52870-9
Barcode:	9783540528708

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