This book consists of three parts: Part One is composed of two introductory chapters. The first chapter provides an instrumental varible interpretation of the state space time series algorithm originally proposed by Aoki (1983), and gives an introductory account for incorporating exogenous signals in state space models. The second chapter, by Havenner, gives practical guidance in apply- ing this algorithm by one of the most experienced practitioners of the method. Havenner begins by summarizing six reasons state space ...
Read More
This book consists of three parts: Part One is composed of two introductory chapters. The first chapter provides an instrumental varible interpretation of the state space time series algorithm originally proposed by Aoki (1983), and gives an introductory account for incorporating exogenous signals in state space models. The second chapter, by Havenner, gives practical guidance in apply- ing this algorithm by one of the most experienced practitioners of the method. Havenner begins by summarizing six reasons state space methods are advanta- geous, and then walks the reader through construction and evaluation of a state space model for four monthly macroeconomic series: industrial production in- dex, consumer price index, six month commercial paper rate, and money stock (Ml). To single out one of the several important insights in modeling that he shares with the reader, he discusses in Section 2ii the effects of sampling er- rors and model misspecification on successful modeling efforts. He argues that model misspecification is an important amplifier of the effects of sampling error that may cause symplectic matrices to have complex unit roots, a theoretical impossibility. Correct model specifications increase efficiency of estimators and often eliminate this finite sample problem. This is an important insight into the positive realness of covariance matrices; positivity has been emphasized by system engineers to the exclusion of other methods of reducing sampling error and alleviating what is simply a finite sample problem. The second and third parts collect papers that describe specific applications.
Read Less
Add this copy of Applications of Computer Aided Time Series Modeling to cart. $96.61, like new condition, Sold by GreatBookPrices rated 4.0 out of 5 stars, ships from Columbia, MD, UNITED STATES, published 1996 by Springer.
Choose your shipping method in Checkout. Costs may vary based on destination.
Seller's Description:
Fine. Trade paperback (US). Glued binding. 335 p. Contains: Illustrations, black & white. Lecture Notes in Statistics, 119. In Stock. 100% Money Back Guarantee. Brand New, Perfect Condition, allow 4-14 business days for standard shipping. To Alaska, Hawaii, U.S. protectorate, P.O. box, and APO/FPO addresses allow 4-28 business days for Standard shipping. No expedited shipping. All orders placed with expedited shipping will be cancelled. Over 3, 000, 000 happy customers.
Add this copy of Applications of Computer Aided Time Series Modeling to cart. $96.62, good condition, Sold by Bonita rated 4.0 out of 5 stars, ships from Hialeah, FL, UNITED STATES, published 1996 by Springer.
Add this copy of Applications of Computer Aided Time Series Modeling to cart. $103.31, new condition, Sold by GreatBookPrices rated 4.0 out of 5 stars, ships from Columbia, MD, UNITED STATES, published 1996 by Springer.
Choose your shipping method in Checkout. Costs may vary based on destination.
Seller's Description:
New. Trade paperback (US). Glued binding. 335 p. Contains: Illustrations, black & white. Lecture Notes in Statistics, 119. In Stock. 100% Money Back Guarantee. Brand New, Perfect Condition, allow 4-14 business days for standard shipping. To Alaska, Hawaii, U.S. protectorate, P.O. box, and APO/FPO addresses allow 4-28 business days for Standard shipping. No expedited shipping. All orders placed with expedited shipping will be cancelled. Over 3, 000, 000 happy customers.
Add this copy of Applications of Computer Aided Time Series Modeling to cart. $103.32, new condition, Sold by Ingram Customer Returns Center rated 5.0 out of 5 stars, ships from NV, USA, published 1996 by Springer.
Add this copy of Applications of Computer Aided Time Series Modeling to cart. $115.28, new condition, Sold by booksXpress, ships from Bayonne, NJ, UNITED STATES, published 1996 by Springer.
