Multivariate Time Series With Linear State Space Structure
Springer International Publishing (Hersteller)
978-3-319-28599-3 (ISBN)
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.
“The book under review is a mathematically solid and comprehensive text, covering in detail the main ingredients of linear estimation theory in state space models. Its emphasis is on the state estimation problems, rather than on statistical inference of the unknown parameters of the model, and from this point of view its scope and spirit is closer to the engineering literature, and to the standard reference … .” (Pavel Chigansky, Mathematical Reviews, May, 2017)
| Erscheint lt. Verlag | 9.5.2016 |
|---|---|
| Zusatzinfo | XVII, 541 p. |
| Verlagsort | Cham |
| Sprache | englisch |
| Themenwelt | Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik |
| Schlagworte | 37m10, 62-xx, 62m10, 93e11, 62m20, 60gxx, 65fxx • algorithms for state space models • Forecasting • Kalman Filter • MATLAB • multivariate time series • Signal Extraction • smoothing • state space models • Time Series • Wiener-Kolmogorov theory |
| ISBN-10 | 3-319-28599-8 / 3319285998 |
| ISBN-13 | 978-3-319-28599-3 / 9783319285993 |
| Zustand | Neuware |
| Informationen gemäß Produktsicherheitsverordnung (GPSR) | |
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