Multivariate time series with linear state space structure:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
[Cham]
Springer
[2016]
|
| Schlagworte: | |
| Online-Zugang: | BTU01 FHR01 FRO01 TUM01 UBM01 UBT01 UBW01 UEI01 UPA01 Volltext Inhaltsverzeichnis Abstract |
| Beschreibung: | 1 Online-Ressource (XVII, 541 Seiten) |
| ISBN: | 9783319285993 |
| DOI: | 10.1007/978-3-319-28599-3 |
Internformat
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Datensatz im Suchindex
| _version_ | 1804176261199691776 |
|---|---|
| adam_text | MULTIVARIATE TIME SERIES WITH LINEAR STATE SPACE STRUCTURE
/ GOMEZ, VICTOR
: 2016
TABLE OF CONTENTS / INHALTSVERZEICHNIS
PREFACE
COMPUTER SOFTWARE
ORTHOGONAL PROJECTION
LINEAR MODELS
STATIONARITY AND LINEAR TIME SERIES MODELS
THE STATE SPACE MODEL
TIME INVARIANT STATE SPACE MODELS
TIME INVARIANT STATE SPACE MODELS WITH INPUTS
WIENER–KOLMOGOROV FILTERING AND SMOOTHING
SSMMATLAB
BIBLIOGRAPHY
AUTHOR INDEX
SUBJECT INDEX
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
MULTIVARIATE TIME SERIES WITH LINEAR STATE SPACE STRUCTURE
/ GOMEZ, VICTOR
: 2016
ABSTRACT / INHALTSTEXT
THIS BOOK PRESENTS A COMPREHENSIVE STUDY OF MULTIVARIATE TIME SERIES
WITH LINEAR STATE SPACE STRUCTURE. THE EMPHASIS IS PUT ON BOTH THE
CLARITY OF THE THEORETICAL CONCEPTS AND ON EFFICIENT ALGORITHMS FOR
IMPLEMENTING THE THEORY. IN PARTICULAR, IT INVESTIGATES THE RELATIONSHIP
BETWEEN VARMA AND STATE SPACE MODELS, INCLUDING CANONICAL FORMS. IT ALSO
HIGHLIGHTS THE RELATIONSHIP BETWEEN WIENER-KOLMOGOROV AND KALMAN
FILTERING BOTH WITH AN INFINITE AND A FINITE SAMPLE. THE STRENGTH OF THE
BOOK ALSO LIES IN THE NUMEROUS ALGORITHMS INCLUDED FOR STATE SPACE
MODELS THAT TAKE ADVANTAGE OF THE RECURSIVE NATURE OF THE MODELS. MANY
OF THESE ALGORITHMS CAN BE MADE ROBUST, FAST, RELIABLE AND EFFICIENT.
THE BOOK IS ACCOMPANIED BY A MATLAB PACKAGE CALLED SSMMATLAB AND A
WEBPAGE PRESENTING IMPLEMENTED ALGORITHMS WITH MANY EXAMPLES AND CASE
STUDIES. THOUGH IT LAYS A SOLID THEORETICAL FOUNDATION, THE BOOK ALSO
FOCUSES ON PRACTICAL APPLICATION, AND INCLUDES EXERCISES IN EACH
CHAPTER. IT IS INTENDED FOR RESEARCHERS AND STUDENTS WORKING WITH LINEAR
STATE SPACE MODELS, AND WHO ARE FAMILIAR WITH LINEAR ALGEBRA AND POSSESS
SOME KNOWLEDGE OF STATISTICS
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
|
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| dewey-full | 519.5 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519.5 |
| dewey-search | 519.5 |
| dewey-sort | 3519.5 |
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| discipline | Mathematik |
| doi_str_mv | 10.1007/978-3-319-28599-3 |
| format | Electronic eBook |
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| spelling | Gómez, Víctor Verfasser aut Multivariate time series with linear state space structure Víctor Gómez [Cham] Springer [2016] © 2016 1 Online-Ressource (XVII, 541 Seiten) txt rdacontent c rdamedia cr rdacarrier Statistics Probabilities Econometrics Statistical Theory and Methods Statistics and Computing/Statistics Programs Probability Theory and Stochastic Processes Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences Statistics for Business/Economics/Mathematical Finance/Insurance Statistik Zeitreihe (DE-588)4127298-5 gnd rswk-swf Multivariate Analyse (DE-588)4040708-1 gnd rswk-swf Zeitreihe (DE-588)4127298-5 s Multivariate Analyse (DE-588)4040708-1 s 1\p DE-604 Erscheint auch als Druckausgabe 978-3-319-28598-6 https://doi.org/10.1007/978-3-319-28599-3 Verlag URL des Erstveröffentlichers Volltext Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028994359&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028994359&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Abstract 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Gómez, Víctor Multivariate time series with linear state space structure Statistics Probabilities Econometrics Statistical Theory and Methods Statistics and Computing/Statistics Programs Probability Theory and Stochastic Processes Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences Statistics for Business/Economics/Mathematical Finance/Insurance Statistik Zeitreihe (DE-588)4127298-5 gnd Multivariate Analyse (DE-588)4040708-1 gnd |
| subject_GND | (DE-588)4127298-5 (DE-588)4040708-1 |
| title | Multivariate time series with linear state space structure |
| title_auth | Multivariate time series with linear state space structure |
| title_exact_search | Multivariate time series with linear state space structure |
| title_full | Multivariate time series with linear state space structure Víctor Gómez |
| title_fullStr | Multivariate time series with linear state space structure Víctor Gómez |
| title_full_unstemmed | Multivariate time series with linear state space structure Víctor Gómez |
| title_short | Multivariate time series with linear state space structure |
| title_sort | multivariate time series with linear state space structure |
| topic | Statistics Probabilities Econometrics Statistical Theory and Methods Statistics and Computing/Statistics Programs Probability Theory and Stochastic Processes Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences Statistics for Business/Economics/Mathematical Finance/Insurance Statistik Zeitreihe (DE-588)4127298-5 gnd Multivariate Analyse (DE-588)4040708-1 gnd |
| topic_facet | Statistics Probabilities Econometrics Statistical Theory and Methods Statistics and Computing/Statistics Programs Probability Theory and Stochastic Processes Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences Statistics for Business/Economics/Mathematical Finance/Insurance Statistik Zeitreihe Multivariate Analyse |
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