Time Series Analysis by State Space Methods
Publisher: Oxford University Press
Published: 2012
Language: eng
Number of pages: 400
ISBN-13: 9780199641178
Subjects: Time-series analysis; System analysis
Description: This is a comprehensive treatment of the state space approach to time series analysis. A distinguishing feature of state space time series models is that observations are regarded as made up of distinct components, which are each modelled separately.