Linear Time Series with MATLAB and OCTAVE - Víctor Gómez
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Présentation Linear Time Series With Matlab And Octave de Víctor Gómez Format Relié
- Livre Science humaines et sociales, Lettres
Résumé :
This book presents an introduction to linear univariate and multivariate time series analysis, providing brief theoretical insights into each topic, and from the beginning illustrating the theory with software examples. As such, it quickly introduces readers to the peculiarities of each subject from both theoretical and the practical points of view. It also includes numerous examples and real-world applications that demonstrate how to handle different types of time series data. The associated software package, SSMMATLAB, is written in MATLAB and also runs on the free OCTAVE platform. The book focuses on linear time series models using a state space approach, with the Kalman filter and smoother as the main tools for model estimation, prediction and signal extraction. A chapter on state space models describes these tools and provides examples of their use with general state space models. Other topics discussed in the book include ARIMA...
Biographie:
Dr. V?ctor G?mez is a statistician and technical advisor at the Spanish Ministry of Finance and Public Administrations in Madrid. His work involves statistical, econometric and, above all, time series analysis of macroeconomic data, mostly in connection with short-term economic analysis. More recently, he has focused on research in the field of time series analysis and the development of software for time series analysis. He has also taught numerous courses on time series analysis and related topics such as short-term forecasting, seasonal adjustment methods and time series filtering. ...
Sommaire:
and transfer function and structural models...
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