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  3. Multivariate Time Series With Linear State Space Structure [Repost]

Multivariate Time Series With Linear State Space Structure [Repost]

Posted By: Free butterfly
Date: 24 Dec 2018 15:02:58
Multivariate Time Series With Linear State Space Structure [Repost]

Multivariate Time Series With Linear State Space Structure by Víctor Gómez
English | 29 Jun. 2016 | ISBN: 331928598X | 560 Pages | PDF | 4.82 MB

This book presents a comprehensive study of multivariate time series with linear state space structure. The emphasis is put on both the clarity of the theoretical concepts and on efficient algorithms for implementing the theory. In particular, it investigates the relationship between VARMA and state space models, including canonical forms.

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