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Services
Commerciaux
14, rue de Provigny
94236 CACHAN
CEDEX
FRANCE
Tél.: +33 (0)1 47 40
67 00
Fax: +33 (0)1 47 40
67 02
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le livre de DURBIN J., KOOPMAN S. J.
This book presents a comprehensive treatment of 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 elements, 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.
Researchers and students in statistics, econometrics, biometrics, environmetrics, engineering, system theory, and physics. Time series practitioners. Financial analysts in banking and other financial institutions.