Advertisement

State Space Modeling of Time Series

  • Masanao¬†Aoki

Part of the Universitext book series (UTX)

Table of contents

  1. Front Matter
    Pages I-XVII
  2. Masanao Aoki
    Pages 1-2
  3. Masanao Aoki
    Pages 3-7
  4. Masanao Aoki
    Pages 8-20
  5. Masanao Aoki
    Pages 21-38
  6. Masanao Aoki
    Pages 39-49
  7. Masanao Aoki
    Pages 99-104
  8. Masanao Aoki
    Pages 105-164
  9. Masanao Aoki
    Pages 165-186
  10. Masanao Aoki
    Pages 187-228
  11. Masanao Aoki
    Pages 229-248
  12. Back Matter
    Pages 249-326

About this book

Introduction

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.

Keywords

Estimator Instrumentalvariablen Likelihood Regression Regression analysis Signal Time series algorithm algorithms calculus correlation geometry model modeling optimization

Authors and affiliations

  • Masanao¬†Aoki
    • 1
  1. 1.Department of Computer ScienceUniversity of CaliforniaLos AngelesUSA

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-75883-6
  • Copyright Information Springer-Verlag Berlin Heidelberg 1990
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-540-52870-8
  • Online ISBN 978-3-642-75883-6
  • Series Print ISSN 0172-5939
  • Buy this book on publisher's site
Industry Sectors
Finance, Business & Banking