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Siem Jan Koopman has been Professor of Econometrics at the Free University in Amsterdam and research fellow at the Tinbergen Institute since 1999. He fullfills editorial duties at the Journal of Applied Econometrics, the Journal of Forecasting, the Journal of Multivariate Analysis and Statistica Sinica.
- 1: Introduction
- Part I: The linear state space model
- 2: Local level model
- 3: Linear Gaussian state space models
- 4: Filtering, smoothing and forecasting
- 5: Initialisation of Filter and smoother
- 6: Further computational aspects
- 7: Maximum likelihood estimation of parameters
- 8: Illustrations of the use of the linear Gaussian model
- Part II: Non-Gaussian and nonlinear state space models
- 9: Special cases of nonlinear and non-Gaussian models
- 10: Approximate filtering and smoothing
- 11: Importance sampling for smoothing
- 12: Particle filtering
- 13: Bayesian estimation of parameters
- 14: Non-Gaussian and nonlinear illustrations
- Subject Index
| Erscheinungsjahr: | 2012 |
|---|---|
| Genre: | Technik allg. |
| Rubrik: | Naturwissenschaften & Technik |
| Medium: | Buch |
| Seiten: | 368 |
| Inhalt: | Gebunden |
| ISBN-13: | 9780199641178 |
| ISBN-10: | 019964117X |
| Sprache: | Englisch |
| Einband: | Gebunden |
| Autor: |
Durbin, James
Koopman, Siem Jan |
| Auflage: | 2nd Revised edition |
| Hersteller: | Oxford University Press, USA |
| Maße: | 250 x 164 x 25 mm |
| Von/Mit: | James Durbin (u. a.) |
| Erscheinungsdatum: | 05.07.2012 |
| Gewicht: | 0,674 kg |
Siem Jan Koopman has been Professor of Econometrics at the Free University in Amsterdam and research fellow at the Tinbergen Institute since 1999. He fullfills editorial duties at the Journal of Applied Econometrics, the Journal of Forecasting, the Journal of Multivariate Analysis and Statistica Sinica.
- 1: Introduction
- Part I: The linear state space model
- 2: Local level model
- 3: Linear Gaussian state space models
- 4: Filtering, smoothing and forecasting
- 5: Initialisation of Filter and smoother
- 6: Further computational aspects
- 7: Maximum likelihood estimation of parameters
- 8: Illustrations of the use of the linear Gaussian model
- Part II: Non-Gaussian and nonlinear state space models
- 9: Special cases of nonlinear and non-Gaussian models
- 10: Approximate filtering and smoothing
- 11: Importance sampling for smoothing
- 12: Particle filtering
- 13: Bayesian estimation of parameters
- 14: Non-Gaussian and nonlinear illustrations
- Subject Index
| Erscheinungsjahr: | 2012 |
|---|---|
| Genre: | Technik allg. |
| Rubrik: | Naturwissenschaften & Technik |
| Medium: | Buch |
| Seiten: | 368 |
| Inhalt: | Gebunden |
| ISBN-13: | 9780199641178 |
| ISBN-10: | 019964117X |
| Sprache: | Englisch |
| Einband: | Gebunden |
| Autor: |
Durbin, James
Koopman, Siem Jan |
| Auflage: | 2nd Revised edition |
| Hersteller: | Oxford University Press, USA |
| Maße: | 250 x 164 x 25 mm |
| Von/Mit: | James Durbin (u. a.) |
| Erscheinungsdatum: | 05.07.2012 |
| Gewicht: | 0,674 kg |
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