Time series modelling with unobserved components
Auteur :
Pelagatti, Matteo M.
Éditeur :
Taylor & Francis Inc
ISBN :
9781482225006
Date de publication :
28 juil. 2015
Dimensions :
23,4 x 15,6 cm
Poids :
521 g
Langue :
Anglais
Pays d'origine :
USA
This work focuses on the unobserved components model (UCM) approach rather than general state space modeling. It provides enough theory so that readers understand the underlying mechanisms while keeping the mathematical rigor to a minimum.