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Author Commandeur, Jacques J. F.

Title An introduction to state space time series analysis / Jacques J.F. Commandeur, Siem Jan Koopman.

Imprint Oxford : Oxford University Press, 2007.

Item Status

Description 1 online resource (xiv, 174 pages) : illustrations.
Series Practical econometrics series
Practical econometrics series.
Bibliography Includes bibliographical references and index.
Summary This text provides an introduction to time series analysis using state space methodology to readers who are neither familiar with time series analysis, nor with state space methods. This is the first in a series of books designed to provide practitioners, researchers, and students with practical introductions to various topics in econometrics. - ;Providing a practical introduction to state space methods as applied to unobserved components time series models, also known as structural time series models, this book introduces time series analysis using state space methodology to readers who are n.
Contents List of Figures; List of Tables; 1. Introduction; 2. The local level model; 3. The local linear trend model; 4. The local level model with seasonal; 5. The local level model with explanatory variable; 6. The local level model with intervention variable; 7. The UK seat belt and inflation models; 8. General treatment of univariate state space models; 9. Multivariate time series analysis*; 10. State space and Box-Jenkins methods for time series analysis; 11. State space modelling in practice; 12. Conclusions; APPENDIX A. UK drivers KSI and petrol price.
Local Note eBooks on EBSCOhost EBSCO eBook Subscription Academic Collection - North America
Subject State-space methods.
Time-series analysis.
Genre/Form Electronic books.
Added Author Koopman, S. J. (Siem Jan)
Other Form: Print version: Commandeur, Jacques J.F. Introduction to state space time series analysis. Oxford : Oxford University Press, 2007 9780199228874 0199228876 (DLC) 2007299410 (OCoLC)123374304
ISBN 9780191527944 (electronic bk.)
0191527947 (electronic bk.)
9780199228874 (Cloth)
0199228876 (Cloth)