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Applications of Computer Aided Time Series Modeling by Arthur M. Havenner, Masanao Aoki (Paperback, 1996)

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This book consists of three parts: Part One is composed of two introductory chapters. The first chapter provides an instrumental varible interpretation of the state space time series algorithm originally proposed by Aoki (1983), and gives an introductory account for incorporating exogenous signals in state space models. The second chapter, by Havenner, gives practical guidance in apply ing this algorithm by one of the most experienced practitioners of the method. Havenner begins by summarizing six reasons state space methods are advanta geous, and then walks the reader through construction and evaluation of a state space model for four monthly macroeconomic series: industrial production in dex, consumer price index, six month commercial paper rate, and money stock (Ml). To single out one of the several important insights in modeling that he shares with the reader, he discusses in Section 2ii the effects of sampling er rors and model misspecification on successful modeling efforts. He argues that model misspecification is an important amplifier of the effects of sampling error that may cause symplectic matrices to have complex unit roots, a theoretical impossibility. Correct model specifications increase efficiency of estimators and often eliminate this finite sample problem. This is an important insight into the positive realness of covariance matrices; positivity has been emphasized by system engineers to the exclusion of other methods of reducing sampling error and alleviating what is simply a finite sample problem. The second and third parts collect papers that describe specific applications.

Product Identifiers

Publisher
Springer-Verlag New York Inc.
ISBN-13
9780387947518
eBay Product ID (ePID)
96651941

Product Key Features

Author
Arthur M. Havenner, Masanao Aoki
Publication Name
Applications of Computer Aided Time Series Modeling
Format
Paperback
Language
English
Subject
Mathematics
Publication Year
1996
Type
Textbook
Number of Pages
335 Pages

Dimensions

Item Height
235mm
Item Width
155mm
Volume
119
Item Weight
534g

Additional Product Features

Series Title
Lecture Notes in Statistics
Country/Region of Manufacture
United States
Editor
Masanao Aoki, Arthur M. Havenner

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Applications of Computer Aided Time Series Modeling by Arthur M. Havenner, Masanao Aoki (Paperback, 1996)

About this product

Product Information

Product Identifiers

Product Key Features

Dimensions

Additional Product Features

Best Selling in Adult Learning & University

Australian Guidebook for Structural Engineers by Lonnie Pack (Paperback, 2019)

Eduqas GCSE (9-1) Religious Studies Route B: Catholic Christianity and Judaism by Deirdre Cleary, Andrew Barron, Joy White, Patrick Harrison (Paperback, 2017)

The Ethnic Cleansing of Palestine by Ilan Pappe (Paperback, 2007)

Save on Adult Learning & University

The Australian Native Bee Hive Book: Keeping Stingless Sugarbag OATH Tim Heard

Weed Forager's Handbook: A Guide to Edible and Medicinal Weeds in Australia by A

Netter Atlas of Human Anatomy: Classic Regional Approach

George Hrabovsky Leonard Susskind Classical Mechanics (Paperback)

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