Time series models
Auteur :
Deistler, Manfred / Scherrer, Wolfgang
Éditeur :
Springer International Publishing AG
ISBN :
9783031132124
Date de publication :
22 oct. 2022
Dimensions :
23,5 x 15,5 cm
Langue :
Anglais
Pays d'origine :
Suisse
The second part deals with multivariate AR, ARMA and state space models, which are the most important model classes for stationary processes, and addresses the structure of AR, ARMA and state space systems, Yule-Walker equations, factorization of rational spectral densities and Kalman filtering.