Time series modelling with unobserved components. (2015)

• Record Type: Book
• Further Information: Note: Matteo Maria Pelagatti.
• Authors: Pelagatti, Matteo M
• Contents: STATISTICAL PREDICTION AND TIME SERIES; Statistical Prediction; Optimal predictor; Optimal linear predictor; Linear models and joint normality; Time Series Concepts ; Definitions; Stationary processes; Integrated processes; ARIMA models; Multivariate extensions UNOBSERVED COMPONENTS; Unobserved Components Model; The unobserved components model; Trend; Cycle; Seasonality; Regressors and Interventions ; Static regression; Regressors in components and dynamic regression; Regression with time-varying coefficients; Estimation; The state space form; Models in state space form; Inference for the unobserved components; Inference for the unknown parameters; Modelling ; Transforms; Choosing the components; State space form and estimation; Diagnostics checks, outliers and structural breaks; Model selection; Multivariate Models ; Trends; Cycles; Seasonalities; State space form and parametrisation APPLICATIONS; Business Cycle Analysis with UCM ; Introduction to the spectral analysis of time series; Extracting the business cycle from one time series; Extracting the business cycle from a pool of time series; Case Studies ; Impact of the point system on road injuries in Italy; An example of benchmarking: Building monthly GDP data; Hourly electricity demand; Software for UCM; Software with ready-to-use UCM procedures; Software for generic models in state space form
• Edition: 1st
• Publisher Details: Boca Raton : Chapman & Hall/CRC
• Publication Date: 2015
• Extent: 1 online resource, illustrations (black and white)
• Subjects: 519.55; Time-series analysis; Econometric models
• Languages: English
• ISBNs: 9781482225013
• Related ISBNs: 9781482225006
• Notes: Note: Description based on CIP data; item not viewed.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.