State Space Modeling of Time Series
UniversitextPublished 1 January 1987
Masanao Aoki
Citations215
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Abstract
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,
Keywords
Computer ScienceEngineering
UniversitextState Vectors and Optimality Measures
1 Citations1990Masanao Aoki
The state vector introduced in Chapter 5 is by no means the only way of summarizing information in data sets and two other choices, one used by Akaike and the other by Arun et al., are discussed in this chapter.
UniversitextRepresentation of Time Series
1 Citations1987Masanao Aoki
This chapter discusses time series models first in the time-domain, then using transfer functions in the frequency domain, using the traditional and the newer Markovian representation, mentioned in Chapter 2.