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Found 1 from your keywords: author="GOMES, Víctor"
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Multivariate Time Series With Linear State Space Structure
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GOMES, Víctor

This book presents a comprehensive study of multivariate time series with linear state space structure. The emphasis is put on both the clarity of the theoretical concepts and on efficient algorithms for implementing the theory. In particular, it investigates the relationship between VARMA and state space models, including canonical forms. It also highlights the relationship between Wiener-Kol…

Edition
1
ISBN/ISSN
978-3-319-28598-6
Collation
XVII, 541
Series Title
-
Call Number
-