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Multivariate Time Series With Linear State Space Structure by Victor Gomez (Hardcover, 2016)

About this product

About this product

Product Information

This book presents a comprehensive study of multivariate time series with linear state space structure. The emphasis is put on both the clarity of the theoretical concepts and on efficient algorithms for implementing the theory. In particular, it investigates the relationship between VARMA and state space models, including canonical forms. It also highlights the relationship between Wiener-Kolmogorov and Kalman filtering both with an infinite and a finite sample. The strength of the book also lies in the numerous algorithms included for state space models that take advantage of the recursive nature of the models. Many of these algorithms can be made robust, fast, reliable and efficient. The book is accompanied by a MATLAB package called SSMMATLAB and a webpage presenting implemented algorithms with many examples and case studies. Though it lays a solid theoretical foundation, the book also focuses on practical application, and includes exercises in each chapter. It is intended for researchers and students working with linear state space models, and who are familiar with linear algebra and possess some knowledge of statistics.

Product Identifiers

Publisher
Springer International Publishing Ag
ISBN-13
9783319285986
eBay Product ID (ePID)
223109614

Product Key Features

Author
Victor Gomez
Publication Name
Multivariate Time Series with Linear State Space Structure
Format
Hardcover
Language
English
Subject
Economics, Government, Computer Science, Mathematics
Publication Year
2016
Type
Textbook
Number of Pages
541 Pages

Dimensions

Item Height
235mm
Item Width
155mm
Item Weight
9575g

Additional Product Features

Title_Author
Victor Gomez
Country/Region of Manufacture
Switzerland

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