State Space Modeling of Time Series is popular PDF and ePub book, written by Masanao Aoki in 2013-03-09, it is a fantastic choice for those who relish reading online the Business & Economics genre. Let's immerse ourselves in this engaging Business & Economics book by exploring the summary and details provided below. Remember, State Space Modeling of Time Series can be Read Online from any device for your convenience.
State Space Modeling of Time Series Book PDF Summary
model's predictive capability? These are some of the questions that need to be answered in proposing any time series model construction method. This book addresses these questions in Part II. Briefly, the covariance matrices between past data and future realizations of time series are used to build a matrix called the Hankel matrix. Information needed for constructing models is extracted from the Hankel matrix. For example, its numerically determined rank will be the di mension of the state model. Thus the model dimension is determined by the data, after balancing several sources of error for such model construction. The covariance matrix of the model forecasting error vector is determined by solving a certain matrix Riccati equation. This matrix is also the covariance matrix of the innovation process which drives the model in generating model forecasts. In these model construction steps, a particular model representation, here referred to as balanced, is used extensively. This mode of model representation facilitates error analysis, such as assessing the error of using a lower dimensional model than that indicated by the rank of the Hankel matrix. The well-known Akaike's canonical correlation method for model construc tion is similar to the one used in this book. There are some important differ ences, however. Akaike uses the normalized Hankel matrix to extract canonical vectors, while the method used in this book does not normalize the Hankel ma trix.
Detail Book of State Space Modeling of Time Series PDF
- Author : Masanao Aoki
- Release : 09 March 2013
- Publisher : Springer Science & Business Media
- ISBN : 9783642969850
- Genre : Business & Economics
- Total Page : 324 pages
- Language : English
- PDF File Size : 16,9 Mb
If you're still pondering over how to secure a PDF or EPUB version of the book State Space Modeling of Time Series by Masanao Aoki, don't worry! All you have to do is click the 'Get Book' buttons below to kick off your Download or Read Online journey. Just a friendly reminder: we don't upload or host the files ourselves.