Time series and linear systems:
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Berlin u.a.
Springer
1986
|
| Schriftenreihe: | Lecture notes in control and information sciences
86 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XVII, 243 s. |
| ISBN: | 3540169032 0387169032 |
Internformat
MARC
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| 245 | 1 | 0 | |a Time series and linear systems |c ed. by S. Bittanti |
| 264 | 1 | |a Berlin u.a. |b Springer |c 1986 | |
| 300 | |a XVII, 243 s. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Lecture notes in control and information sciences |v 86 | |
| 650 | 7 | |a Lineaire systemen |2 gtt | |
| 650 | 4 | |a Systèmes linéaires | |
| 650 | 7 | |a Systèmes linéaires |2 ram | |
| 650 | 4 | |a Série chronologique | |
| 650 | 7 | |a Séries chronologiques |2 ram | |
| 650 | 7 | |a Tijdreeksen |2 gtt | |
| 650 | 7 | |a modèle dynamique |2 inriac | |
| 650 | 7 | |a modèle stochastique |2 inriac | |
| 650 | 7 | |a système déterministe |2 inriac | |
| 650 | 7 | |a système linéaire |2 inriac | |
| 650 | 7 | |a système périodique |2 inriac | |
| 650 | 7 | |a système stochastique |2 inriac | |
| 650 | 7 | |a série chronologique |2 inriac | |
| 650 | 7 | |a théorie système linéaire |2 inriac | |
| 650 | 7 | |a économétrie |2 inriac | |
| 650 | 4 | |a Time-series analysis | |
| 650 | 4 | |a Linear systems | |
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Datensatz im Suchindex
| _version_ | 1805082625663041536 |
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| adam_text |
XIV
TABLE OF CONTENTS
Chapter 1 TIME SERIES AND STOCHASTIC MODELS 1
by E.J. Hannan
1. Introduction 1
2. Some Basic Algorithms 4
3. Approximation Criteria 8
4. Rational Transfer Function Approximation 12
5. A. Gauss Newton Procedure 16
6. Some Theoretical Considerations 28
References 34
Chapter 2 LINEAR ERRORS IN VARIABLES SYSTEMS 37
by M. Deistler
1. Introduction 37
2. The Static Case 41
3. Second Moments and Dynamic Models: the General Case 48
4. Causality 52
5. Conditions for Identifiability from the Second
Moments of the Observations 58
6. Identifiability from High Order Moments 63
References 66
XV
Chapter 3 A NEW CLASS OP DYNAMIC MODELS 69
FOR STATIONARY TIME SERIES
by G. Picci and S. Pinzoni
1. Introduction 69
2. Dynamic Factor Analysis Models 80
3. Stochastic Realization 87
4. Causality 104
References 11 2
Chapter 4 PREDICTIVE AND NONPREDICTIVE 115
MINIMUM DESCRIPTION LENGTH PRINCIPLES
by J. Rissanen
1. Introduction 115
2. Coding and Prediction 120
3. ARMA Estimation and Prediction 125
4. Vector Time Series Models 131
References 137
Chapter 5 DETERMINISTIC AND STOCHASTIC LINEAR PERIODIC 141
SYSTEMS
by S. Bittanti
1. Introduction 141
2. Structural Properties of Continuous time Periodic 143
Systems
XVI
2.1 Continuous time Linear Periodic Systems 143
2.2 Structural Properties 145
2.3 Grammian Matrices 146
2.4 Five Structural Properties of Time invariant 146
Systems
2.5 Five Structural Properties of Continuous time 148
Periodic Systems
3. Structural Properties of Discrete time Periodic 156
Systems
3.1 Discrete time Linear Periodic Systems 156
3.2 Structural Properties 158
3.3 Grammian Matrices 158
3.4 Five Structural Properties of Discrete time 159
Periodic Systems
4. Kalman Canonical Decomposition 163
5. Extended Structural Properties 165
6. Stochastic Linear Periodic Systems 168
References 176
Chapter 6 NUMERICAL PROBLEMS IN LINEAR SYSTEM THEORY 183
by D. Boley and S. Bittanti
1 . Introduction 183
2. Review of Simpler Computational Methods 183
2.1 LU Decomposition 183
2.2 Orthogonal Decomposition 188
2.2.1 QR Decomposition 188
2.2.2 Geometric Interpretation of a Rotation 191
2.2.3 QR Decomposition by Housolder decompositions 192
2.2.4 Solving Least Squares Problems 194
Using Orthogonal Decompositions
XVII
3. Special Forms Used in Numerical Linear Algebra Why 196
3.1 The Jordan Canonical Form 196
3.2 Numerical Conditioning of a Problem 197
4. Schur Decomposition 199
5. Singular Value Decomposition 201
Condition Number of a Matrix
6. Applications of Previous to Linear Systems 211
References 220
Chapter 7 SOME RECENT DEVELOPMENTS IN ECONOMETRICS 222
by M. McAleer and M. Deistler
1. Introduction 222
2. Specification and Quality Control of a Model 226
2.1 Model Specification 227
2.2 Tight and Loose Specifications 228
2.3 Principles for Testing 231
2.4 Diagnostic Testing 232
2.4.1 Serial Correlation 232
2.4.2 Heteroscedasticity 233
2.4.3 Exogeneity 234
2.4.4 Functional Form 234
2.4.5 Parameter Constancy 235
2.4.6 Non nested Alternatives 235
3. Macroeconomic Modelling and Forecasting 236
4. Microeconometrics 240
References 241 |
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| building | Verbundindex |
| bvnumber | BV000499174 |
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| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
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| indexdate | 2024-07-20T07:35:38Z |
| institution | BVB |
| isbn | 3540169032 0387169032 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-000309459 |
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| physical | XVII, 243 s. |
| publishDate | 1986 |
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| series | Lecture notes in control and information sciences |
| series2 | Lecture notes in control and information sciences |
| spelling | Time series and linear systems ed. by S. Bittanti Berlin u.a. Springer 1986 XVII, 243 s. txt rdacontent n rdamedia nc rdacarrier Lecture notes in control and information sciences 86 Lineaire systemen gtt Systèmes linéaires Systèmes linéaires ram Série chronologique Séries chronologiques ram Tijdreeksen gtt modèle dynamique inriac modèle stochastique inriac système déterministe inriac système linéaire inriac système périodique inriac système stochastique inriac série chronologique inriac théorie système linéaire inriac économétrie inriac Time-series analysis Linear systems Zeitreihe (DE-588)4127298-5 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf Lineares System (DE-588)4125617-7 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Zeitreihenanalyse (DE-588)4067486-1 s Lineares System (DE-588)4125617-7 s DE-604 Zeitreihe (DE-588)4127298-5 s Bittanti, Sergio Sonstige oth Lecture notes in control and information sciences 86 (DE-604)BV005848579 86 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=000309459&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Time series and linear systems Lecture notes in control and information sciences Lineaire systemen gtt Systèmes linéaires Systèmes linéaires ram Série chronologique Séries chronologiques ram Tijdreeksen gtt modèle dynamique inriac modèle stochastique inriac système déterministe inriac système linéaire inriac système périodique inriac système stochastique inriac série chronologique inriac théorie système linéaire inriac économétrie inriac Time-series analysis Linear systems Zeitreihe (DE-588)4127298-5 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd Lineares System (DE-588)4125617-7 gnd |
| subject_GND | (DE-588)4127298-5 (DE-588)4067486-1 (DE-588)4125617-7 (DE-588)4143413-4 |
| title | Time series and linear systems |
| title_auth | Time series and linear systems |
| title_exact_search | Time series and linear systems |
| title_full | Time series and linear systems ed. by S. Bittanti |
| title_fullStr | Time series and linear systems ed. by S. Bittanti |
| title_full_unstemmed | Time series and linear systems ed. by S. Bittanti |
| title_short | Time series and linear systems |
| title_sort | time series and linear systems |
| topic | Lineaire systemen gtt Systèmes linéaires Systèmes linéaires ram Série chronologique Séries chronologiques ram Tijdreeksen gtt modèle dynamique inriac modèle stochastique inriac système déterministe inriac système linéaire inriac système périodique inriac système stochastique inriac série chronologique inriac théorie système linéaire inriac économétrie inriac Time-series analysis Linear systems Zeitreihe (DE-588)4127298-5 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd Lineares System (DE-588)4125617-7 gnd |
| topic_facet | Lineaire systemen Systèmes linéaires Série chronologique Séries chronologiques Tijdreeksen modèle dynamique modèle stochastique système déterministe système linéaire système périodique système stochastique série chronologique théorie système linéaire économétrie Time-series analysis Linear systems Zeitreihe Zeitreihenanalyse Lineares System Aufsatzsammlung |
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