An Introduction to State Space Time Series Analysis

Hardcover | October 11, 2007

byJacques J.F. Commandeur, Siem Jan Koopman

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Providing a practical introduction to state space methods as applied to unobserved components time series models, also known as structural time series models, this book introduces time series analysis using state space methodology to readers who are neither familiar with time series analysis,nor with state space methods. The only background required in order to understand the material presented in the book is a basic knowledge of classical linear regression models, of which a brief review is provided to refresh the reader's knowledge. Also, a few sections assume familiarity with matrixalgebra, however, these sections may be skipped without losing the flow of the exposition. The book offers a step by step approach to the analysis of the salient features in time series such as the trend, seasonal, and irregular components. Practical problems such as forecasting and missing values are treated in some detail. This useful book will appeal to practitioners and researcherswho use time series on a daily basis in areas such as the social sciences, quantitative history, biology and medicine. It also serves as an accompanying textbook for a basic time series course in econometrics and statistics, typically at an advanced undergraduate level or graduate level.

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Providing a practical introduction to state space methods as applied to unobserved components time series models, also known as structural time series models, this book introduces time series analysis using state space methodology to readers who are neither familiar with time series analysis,nor with state space methods. The only backg...

Jacques J.F. Commandeur is Senior Researcher at the SWOV Institute for Road Safety Research, Leidschendam, The Netherlands. His Ph.D. is from the Department of Psychometrics and Research Methodology of Leiden University. Between 1991 and 2000 he did research for the Department of Data Theory and the Department of Educational Sciences ...
Format:HardcoverDimensions:192 pages, 9.21 × 6.14 × 0.63 inPublished:October 11, 2007Publisher:Oxford University PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0199228876

ISBN - 13:9780199228874

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Table of Contents

1. Introduction2. The Local Level Model3. The Local Linear Trend Model4. The Local Level Model with Seasonal5. The Local Level Model with Explanatory Variable6. The Local Level Model with Intervention Variable7. The UK Seat Belt and Inflation Models8. General Treatment of Univariate State Space Models9. Multivariate Time Series Analysis10. State Space and Box-Jenkins Methods for Time Series Analysis11. State Space Modelling in Practice12. ConclusionsAppendix A UK Drivers KSI and Petrol PriceAppendix B Road Traffic Fatalities in Norway and FinlandAppendix C UK Front and Rear Seat Passengers KSIAppendix D UK Price Changes