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Time series analysis by state space methods / J. Durbin and S. J. Koopman.

By: Contributor(s): Material type: TextTextLanguage: English Series: Oxford statistical science series ; 24Publication details: Oxford : Oxford University Press, 2001.Description: xvii, 253 páginas : tablas, gráficas ; 24 cmContent type:
  • Texto
Media type:
  • Sin mediación
Carrier type:
  • Volumen
ISBN:
  • 0198523548
Subject(s): DDC classification:
  • 519.55  D87t  21
Other classification:
  • C32
Contents:
1. Introduction -- I. The linear Gaussian state space model: 2. Local level model ; 3. Linear Gaussian state space models ; 4. Filtering, smoothing and forecasting ; 5. Initialisation of filter and smoother ; 6. Further computational aspects ; 7. Maximum likelihood estimation ; 8. Bayesian analysis ; 9. Illustrations of the use of the linear Gaussian Model -- II. Non-Gaussian and nonlinear state space models : 10. Non-Gausian and nonlinear state space models ; 11. Importance sampling ; 12. Analysis from a classical standpoint ; 13. Analysis from a Bayesian standpoint ; 14. Non-Gaussian and nonlinear illustrations.
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Holdings
Item type Home library Call number Status Notes Date due Barcode Item holds
LIBRO FISICO Biblioteca Principal 519.55 D87t (Browse shelf(Opens below)) In transit from Biblioteca Principal to Bodega 2 Descarte Material since 2023-05-24 Mantener en colección 29004018998780
Total holds: 0

Incluye referencias bibliográficas (páginas 241-247) e índices.

1. Introduction -- I. The linear Gaussian state space model: 2. Local level model ; 3. Linear Gaussian state space models ; 4. Filtering, smoothing and forecasting ; 5. Initialisation of filter and smoother ; 6. Further computational aspects ; 7. Maximum likelihood estimation ; 8. Bayesian analysis ; 9. Illustrations of the use of the linear Gaussian Model -- II. Non-Gaussian and nonlinear state space models : 10. Non-Gausian and nonlinear state space models ; 11. Importance sampling ; 12. Analysis from a classical standpoint ; 13. Analysis from a Bayesian standpoint ; 14. Non-Gaussian and nonlinear illustrations.

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