Time Series Analysis by State Space Methods Second Edition

Name: Time Series Analysis by State Space Methods Second Edition
Price: 119.8 USD
Availability: InStock
ISBN: 9780199641178

ISBN-10: 019964117X

ISBN-13: 9780199641178

Edition: 2nd 2012

Authors: James Durbin, Siem Jan Koopman

This item qualifies for FREE shipping.

30 day, 100% satisfaction guarantee!

Sell

Get cash fast!

Buy new: $131.21

Marketplace

2 new & used from $119.80

what's this?

Rush Rewards U
Members Receive:

You have reached 400 XP and carrot coins. That is the daily max!

Book details

Edition: 2nd
Copyright year: 2012
Publisher: Oxford University Press
Publication date: 5/3/2012
Binding: Hardcover
Pages: 400
Size: 6.34" wide x 9.25" long x 1.01" tall
Weight: 1.496
Language: English

Siem Jan Koopman is Professor of Econometrics at the Free University Amsterdam and Research Fellow of Tinbergen Institute, Amsterdam. He has published in international journals and is co-author of Time Series Analysis by State Space Models (with J. Durbin, 2001).




Introduction



The linear state space model



Local level model



Linear Gaussian state space models



Filtering, smoothing and forecasting



Initialisation of Filter and smoother



Further computational aspects



Maximum likelihood estimation of parameters



Illustrations of the use of the linear Gaussian model



Non-Gaussian and nonlinear state space models



Special cases of nonlinear and non-Gaussian models



Approximate filtering and smoothing



Importance sampling for smoothing



Particle filtering



Bayesian estimation of parameters



Non-Gaussian and nonlinear illustrations


Subject Index