This excellent text provides a comprehensive treatment of the state space approach to time series analysis. The distinguishing feature of state space time series models is that observations are regarded as made up of distinct components such as trend, seasonal, regression elements and disturbence terms, each of which is modelled separately. The techniques that emerge from this approach are very flexible and are capable of handling a much wider range of problems than the main analytical system currently in use for time series analysis, the Box-Jenkins ARIMA system. The book provides an excellent source for the development of practical courses on time series analysis.
- ISBN10 0198523548
- ISBN13 9780198523543
- Publish Date 21 June 2001
- Publish Status Out of Print
- Out of Print 19 July 2013
- Publish Country GB
- Publisher Oxford University Press
- Imprint Clarendon Press
- Format Hardcover
- Pages 272
- Language English