State Space Modeling Of Time Series
Download State Space Modeling Of Time Series full books in PDF, epub, and Kindle. Read online free State Space Modeling Of Time Series ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
State Space Modeling of Time Series
Author | : Masanao Aoki |
Publsiher | : Springer Science & Business Media |
Total Pages | : 324 |
Release | : 2013-03-09 |
Genre | : Business & Economics |
ISBN | : 9783642969850 |
Download State Space Modeling of Time Series Book in PDF, Epub and Kindle
model's predictive capability? These are some of the questions that need to be answered in proposing any time series model construction method. This book addresses these questions in Part II. Briefly, the covariance matrices between past data and future realizations of time series are used to build a matrix called the Hankel matrix. Information needed for constructing models is extracted from the Hankel matrix. For example, its numerically determined rank will be the di mension of the state model. Thus the model dimension is determined by the data, after balancing several sources of error for such model construction. The covariance matrix of the model forecasting error vector is determined by solving a certain matrix Riccati equation. This matrix is also the covariance matrix of the innovation process which drives the model in generating model forecasts. In these model construction steps, a particular model representation, here referred to as balanced, is used extensively. This mode of model representation facilitates error analysis, such as assessing the error of using a lower dimensional model than that indicated by the rank of the Hankel matrix. The well-known Akaike's canonical correlation method for model construc tion is similar to the one used in this book. There are some important differ ences, however. Akaike uses the normalized Hankel matrix to extract canonical vectors, while the method used in this book does not normalize the Hankel ma trix.
State Space Modeling of Time Series
Author | : Masanao Aoki |
Publsiher | : Springer Science & Business Media |
Total Pages | : 339 |
Release | : 2013-03-09 |
Genre | : Business & Economics |
ISBN | : 9783642758836 |
Download State Space Modeling of Time Series Book in PDF, Epub and Kindle
In this book, the author adopts a state space approach to time series modeling to provide a new, computer-oriented method for building models for vector-valued time series. This second edition has been completely reorganized and rewritten. Background material leading up to the two types of estimators of the state space models is collected and presented coherently in four consecutive chapters. New, fuller descriptions are given of state space models for autoregressive models commonly used in the econometric and statistical literature. Backward innovation models are newly introduced in this edition in addition to the forward innovation models, and both are used to construct instrumental variable estimators for the model matrices. Further new items in this edition include statistical properties of the two types of estimators, more details on multiplier analysis and identification of structural models using estimated models, incorporation of exogenous signals and choice of model size. A whole new chapter is devoted to modeling of integrated, nearly integrated and co-integrated time series.
Time Series Analysis by State Space Methods
Author | : James Durbin,Siem Jan Koopman |
Publsiher | : Oxford University Press |
Total Pages | : 280 |
Release | : 2001-06-21 |
Genre | : Business & Economics |
ISBN | : 0198523548 |
Download Time Series Analysis by State Space Methods Book in PDF, Epub and Kindle
State space time series analysis emerged in the 1960s in engineering, but its applications have spread to other fields. Durbin (statistics, London School of Economics and Political Science) and Koopman (econometrics, Free U., Amsterdam) extol the virtues of such models over the main analytical system currently used for time series data, Box-Jenkins' ARIMA. What distinguishes state space time models is that they separately model components such as trend, seasonal, regression elements and disturbance terms. Part I focuses on traditional and new techniques based on the linear Gaussian model. Part II presents new material extending the state space model to non-Gaussian observations. c. Book News Inc.
Time Series Analysis for the State Space Model with R Stan
Author | : Junichiro Hagiwara |
Publsiher | : Springer Nature |
Total Pages | : 350 |
Release | : 2021-08-30 |
Genre | : Mathematics |
ISBN | : 9789811607110 |
Download Time Series Analysis for the State Space Model with R Stan Book in PDF, Epub and Kindle
This book provides a comprehensive and concrete illustration of time series analysis focusing on the state-space model, which has recently attracted increasing attention in a broad range of fields. The major feature of the book lies in its consistent Bayesian treatment regarding whole combinations of batch and sequential solutions for linear Gaussian and general state-space models: MCMC and Kalman/particle filter. The reader is given insight on flexible modeling in modern time series analysis. The main topics of the book deal with the state-space model, covering extensively, from introductory and exploratory methods to the latest advanced topics such as real-time structural change detection. Additionally, a practical exercise using R/Stan based on real data promotes understanding and enhances the reader’s analytical capability.
Time Series Analysis by State Space Methods
Author | : James Durbin,Siem Jan Koopman |
Publsiher | : Oxford University Press |
Total Pages | : 369 |
Release | : 2012-05-03 |
Genre | : Business & Economics |
ISBN | : 9780199641178 |
Download Time Series Analysis by State Space Methods Book in PDF, Epub and Kindle
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.
Time Series Analysis and Its Applications
Author | : Robert H. Shumway,David S. Stoffer |
Publsiher | : Unknown |
Total Pages | : 568 |
Release | : 2014-01-15 |
Genre | : Electronic Book |
ISBN | : 1475732627 |
Download Time Series Analysis and Its Applications Book in PDF, Epub and Kindle
Forecasting with Exponential Smoothing
Author | : Rob Hyndman,Anne B. Koehler,J. Keith Ord,Ralph D. Snyder |
Publsiher | : Springer Science & Business Media |
Total Pages | : 362 |
Release | : 2008-06-19 |
Genre | : Mathematics |
ISBN | : 9783540719182 |
Download Forecasting with Exponential Smoothing Book in PDF, Epub and Kindle
Exponential smoothing methods have been around since the 1950s, and are still the most popular forecasting methods used in business and industry. However, a modeling framework incorporating stochastic models, likelihood calculation, prediction intervals and procedures for model selection, was not developed until recently. This book brings together all of the important new results on the state space framework for exponential smoothing. It will be of interest to people wanting to apply the methods in their own area of interest as well as for researchers wanting to take the ideas in new directions. Part 1 provides an introduction to exponential smoothing and the underlying models. The essential details are given in Part 2, which also provide links to the most important papers in the literature. More advanced topics are covered in Part 3, including the mathematical properties of the models and extensions of the models for specific problems. Applications to particular domains are discussed in Part 4.
Introduction to Time Series Modeling
Author | : Genshiro Kitagawa |
Publsiher | : CRC Press |
Total Pages | : 315 |
Release | : 2010-04-21 |
Genre | : Mathematics |
ISBN | : 9781584889229 |
Download Introduction to Time Series Modeling Book in PDF, Epub and Kindle
In time series modeling, the behavior of a certain phenomenon is expressed in relation to the past values of itself and other covariates. Since many important phenomena in statistical analysis are actually time series and the identification of conditional distribution of the phenomenon is an essential part of the statistical modeling, it is very im