Time series analysis by state space methods Durbin, James

By:

Durbin, James

Contributor(s):

Koopman, Siem Jan

Material type: Text

TextSeries: Oxford Statistical Science Series, No.24Publication details: Oxford Oxford University Press 2001 Description: xvii, 253 pISBN:

9780198523543

Subject(s):

DDC classification:

519.55

Summary: The book presents a comprehensive treatment of the state space approach to time series analysis. The distinguishing feature of state space time series models is that observations are regarded as made up of distinct components such as trend, seasonal, regression elements and disturbance elements, each of which is modelled separately. The techniques that emerge from this approach are very flexible and are capable of handling a much wider range of problems than the main analytical system currently in use for time series analysis, the Box-Jenkins ARIMA system.

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Holdings
Item type	Current library	Call number	Status	Date due	Barcode	Item holds
Book	Ahmedabad	519.55 D8T4 (Browse shelf(Opens below))	Available		160609

Total holds: 0

The book presents a comprehensive treatment of the state space approach to time series analysis. The distinguishing feature of state space time series models is that observations are regarded as made up of distinct components such as trend, seasonal, regression elements and disturbance elements, each of which is modelled separately. The techniques that emerge from this approach are very flexible and are capable of handling a much wider range of problems than the main analytical system currently in use for time series analysis, the Box-Jenkins ARIMA system.

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