Multivariate Time Series With Linear State Space Structure

Nonfiction, Science & Nature, Mathematics, Statistics, Computers, Application Software
Cover of the book Multivariate Time Series With Linear State Space Structure by Víctor Gómez, Springer International Publishing
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Víctor Gómez ISBN: 9783319285993
Publisher: Springer International Publishing Publication: May 9, 2016
Imprint: Springer Language: English
Author: Víctor Gómez
ISBN: 9783319285993
Publisher: Springer International Publishing
Publication: May 9, 2016
Imprint: Springer
Language: English

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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

More books from Springer International Publishing

Cover of the book Poverty and Exclusion of Minorities in China and India by Víctor Gómez
Cover of the book An Introduction to Data by Víctor Gómez
Cover of the book Joint Models of Neural and Behavioral Data by Víctor Gómez
Cover of the book Introduction to Fractional and Pseudo-Differential Equations with Singular Symbols by Víctor Gómez
Cover of the book Fundamental Labour Rights in China - Legal Implementation and Cultural Logic by Víctor Gómez
Cover of the book Robot Operating System (ROS) by Víctor Gómez
Cover of the book Transdisciplinary Environmental Research by Víctor Gómez
Cover of the book The Physiology of Microalgae by Víctor Gómez
Cover of the book Proceedings of ELM-2016 by Víctor Gómez
Cover of the book Differential and Difference Equations by Víctor Gómez
Cover of the book D. H. Lawrence, Transport and Cultural Transition by Víctor Gómez
Cover of the book Doubt-Free Uncertainty In Measurement by Víctor Gómez
Cover of the book Oil Pollution in the Mediterranean Sea: Part II by Víctor Gómez
Cover of the book Applied Cryptography and Network Security by Víctor Gómez
Cover of the book Non-Operative Treatment of the Lumbar Spine by Víctor Gómez
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy