Time Series Analysis by State Space Methods

出版者:Clarendon Press

作者:James Durbin

页数:272

出版时间:2001-6-21

价格:GBP 60.00

装帧:Hardcover

isbn号码:9780198523543

图书标签:金融荷蘭英國歐洲機器學習數學低地共和人工智能

This excellent text provides 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 disturbence terms, 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. The book provides an excellent source for the development of practical courses on time series analysis.

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