Close
Enter your search into one or more of the boxes below:
You can refine your search by selecting from any of the options below:
Search
Time Series Analysis by State Space Methods

Time Series Analysis by State Space Methods (Hardback)

£58.00
Despatched in 2 business days.
Order now for Free delivery in the UK or choose Express Delivery to receive in 2 business days.
More on delivery...

Synopsis

This new edition updates Durbin & Koopman's important text on the state space approach to time series analysis. The distinguishing feature of state space time series models is that observations are regarded as made up of distinct components such as trend, seasonal, regression elements and disturbance terms, each of which is modelled separately. The techniques that emerge from this approach are very flexible and are capable of handling a much wider range of problems than the main analytical system currently in use for time series analysis, the Box-Jenkins ARIMA system. Additions to this second edition include the filtering of nonlinear and non-Gaussian series. Part I of the book obtains the mean and variance of the state, of a variable intended to measure the effect of an interaction and of regression coefficients, in terms of the observations. Part II extends the treatment to nonlinear and non-normal models. For these, analytical solutions are not available so methods are based on simulation.

BusinessEconomicsEconometricsEconomic statisticsScience & MathematicsMathematicsApplied mathematicsMathematical modellingScience & MathematicsMathematicsMathematical foundationsScience & MathematicsMathematicsProbability & statisticsScience & MathematicsScience: general issuesMaths for scientists Publisher: Oxford University Press Publication Date: 03/05/2012 ISBN-13: 9780199641178  Details: Type: Hardback Format: Books
Availability: Despatched in 2 business days. Login for Quick Checkout Add to Basket

The late James Durbin was Professor of Statistics at the London School of Economics, President of the Royal Statistical Society and President of the International Statistical Institute. He was awarded the society's bronze, silver and gold medals for his contribution to statistics. He was a fellow of the British Academy. Siem Jan Koopman has been Professor of Econometrics at the Free University in Amsterdam and research fellow at the Tinbergen Institute since 1999. He fullfills editorial duties at the Journal of Applied Econometrics, the Journal of Forecasting, the Journal of Multivariate Analysis and Statistica Sinica.

More books by James Durbin

More books by Siem Jan Koopman

Leave Review

Delivery

Delivery Options

All delivery times quoted are the average, and cannot be guaranteed. These should be added to the availability message time, to determine when the goods will arrive. During checkout we will give you a cumulative estimated date for delivery.

Location 1st Book Each additional book Average Delivery Time
UK Standard Delivery FREE FREE 3-5 Days
UK First Class £4.50 £1.00 1-2 Days
UK Courier £7.00 £1.00 1-2 Days
Western Europe** Courier £17.00 £3.00 2-3 Days
Western Europe** Airmail £5.00 £1.50 4-14 Days
USA / Canada Courier £20.00 £3.00 2-4 Days
USA / Canada Airmail £7.00 £3.00 4-14 Days
Rest of World Courier £22.50 £3.00 3-6 Days
Rest of World Airmail £8.00 £3.00 7-21 Days

** Includes Austria, Belgium, Denmark, France, Germany, Greece, Iceland, Irish Republic, Italy, Luxembourg, Netherlands, Portugal, Spain, Sweden and Switzerland.

Delivery Help & FAQs

Returns Information

If you are not completely satisfied with your purchase*, you may return it to us in its original condition with in 30 days of receiving your delivery or collection notification email for a refund. Except for damaged items or delivery issues the cost of return postage is borne by the buyer. Your statutory rights are not affected.

* For Exclusions and terms on damaged or delivery issues see Returns Help & FAQs

You might also like

From Statistics to Mathematical...
(Hardback)
Dietmar Ferger; Wenceslao...
 
 
£88.00
 
Employment, Hours, and Earnings 2017:...
(Paperback)
Mary Meghan Ryan
 
 
£75.00
 

Currently out of stock

Measuring India: The Nation's...
(Hardback)
M. R. Saluja
 
 
£44.99
 
Maths and Stats for Web Analytics and...
(Paperback)
Himanshu Sharma
 
 
£35.00
 

Currently out of stock

Latest Blog
#FoylesFive: Buddhism & Meditation
23/11/2017

Stressed? Carmelo from our Charing Cross Road flagship shop has just the thing.

The Satisfaction of a Good Puzzle
21/11/2017

Alex Bellos extols the virtues of the puzzle, especially those from the great puzzle masters of Japan, and selects some of his favourite puzzle books.

#FoylesFive: Swap Snowflakes for Stardust
17/11/2017

Swap snowflakes for stardust this Christmas with some recommends that are out of this world, from Jamie-Lee from our Birmingham branch.

View all Blog Entries
Twitter
Show/Hide Tweets
© W&G Foyle Ltd