In time series analysis, the state space model provides a unified method of flexible modeling for analyzing, modeling, state estimation, and parameter estimation. This book presents a model-based method of analyzing, predicting, and simulating time series with various characteristics. Real data sets in economics, finance, seismology, meteorology, and ship engineering are used as examples of the analysis. The author emphasizes the unified use of the state space model, smoothing, and the information criterion AIC for model evaluation.
- ISBN: 978-1-58488-921-2
- Editorial: Chapman & Hall/CRC Statistics and Mathem
- Encuadernacion: Rústica
- Páginas: 296
- Fecha Publicación: 15/01/2010
- Nº Volúmenes: 1
- Idioma: Inglés