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State-Space Models

2013-08-15 Business & Economics
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Release : 2013-08-15
Genre : Business & Economics
Kind : eBook
Book Rating : 891/5 ( reviews)

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Book Synopsis State-Space Models by : Yong Zeng

Download or read book State-Space Models written by Yong Zeng. This book was released on 2013-08-15. Available in PDF, EPUB and Kindle. Book excerpt: State-space models as an important mathematical tool has been widely used in many different fields. This edited collection explores recent theoretical developments of the models and their applications in economics and finance. The book includes nonlinear and non-Gaussian time series models, regime-switching and hidden Markov models, continuous- or discrete-time state processes, and models of equally-spaced or irregularly-spaced (discrete or continuous) observations. The contributed chapters are divided into four parts. The first part is on Particle Filtering and Parameter Learning in Nonlinear State-Space Models. The second part focuses on the application of Linear State-Space Models in Macroeconomics and Finance. The third part deals with Hidden Markov Models, Regime Switching and Mathematical Finance and the fourth part is on Nonlinear State-Space Models for High Frequency Financial Data. The book will appeal to graduate students and researchers studying state-space modeling in economics, statistics, and mathematics, as well as to finance professionals.

Linear State-Space Control Systems

2007-02-09 Technology & Engineering
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Release : 2007-02-09
Genre : Technology & Engineering
Kind : eBook
Book Rating : 558/5 ( reviews)

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Book Synopsis Linear State-Space Control Systems by : Robert L. Williams, II

Download or read book Linear State-Space Control Systems written by Robert L. Williams, II. This book was released on 2007-02-09. Available in PDF, EPUB and Kindle. Book excerpt: The book blends readability and accessibility common to undergraduate control systems texts with the mathematical rigor necessary to form a solid theoretical foundation. Appendices cover linear algebra and provide a Matlab overivew and files. The reviewers pointed out that this is an ambitious project but one that will pay off because of the lack of good up-to-date textbooks in the area.

State Space Modeling of Time Series

2013-03-09 Business & Economics
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Release : 2013-03-09
Genre : Business & Economics
Kind : eBook
Book Rating : 852/5 ( reviews)

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Book Synopsis State Space Modeling of Time Series by : Masanao Aoki

Download or read book State Space Modeling of Time Series written by Masanao Aoki. This book was released on 2013-03-09. Available in PDF, EPUB and Kindle. Book excerpt: 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, the covariance matrices between past data and future realizations of time series are used to build a matrix called the Hankel matrix. Information needed for constructing models is extracted from the Hankel matrix. For example, its numerically determined rank will be the di mension of the state model. Thus the model dimension is determined by the data, after balancing several sources of error for such model construction. The covariance matrix of the model forecasting error vector is determined by solving a certain matrix Riccati equation. This matrix is also the covariance matrix of the innovation process which drives the model in generating model forecasts. In these model construction steps, a particular model representation, here referred to as balanced, is used extensively. This mode of model representation facilitates error analysis, such as assessing the error of using a lower dimensional model than that indicated by the rank of the Hankel matrix. The well-known Akaike's canonical correlation method for model construc tion is similar to the one used in this book. There are some important differ ences, however. Akaike uses the normalized Hankel matrix to extract canonical vectors, while the method used in this book does not normalize the Hankel ma trix.

Bayesian Inference of State Space Models

2021-11-12 Mathematics
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Release : 2021-11-12
Genre : Mathematics
Kind : eBook
Book Rating : 24X/5 ( reviews)

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Book Synopsis Bayesian Inference of State Space Models by : Kostas Triantafyllopoulos

Download or read book Bayesian Inference of State Space Models written by Kostas Triantafyllopoulos. This book was released on 2021-11-12. Available in PDF, EPUB and Kindle. Book excerpt: Bayesian Inference of State Space Models: Kalman Filtering and Beyond offers a comprehensive introduction to Bayesian estimation and forecasting for state space models. The celebrated Kalman filter, with its numerous extensions, takes centre stage in the book. Univariate and multivariate models, linear Gaussian, non-linear and non-Gaussian models are discussed with applications to signal processing, environmetrics, economics and systems engineering. Over the past years there has been a growing literature on Bayesian inference of state space models, focusing on multivariate models as well as on non-linear and non-Gaussian models. The availability of time series data in many fields of science and industry on the one hand, and the development of low-cost computational capabilities on the other, have resulted in a wealth of statistical methods aimed at parameter estimation and forecasting. This book brings together many of these methods, presenting an accessible and comprehensive introduction to state space models. A number of data sets from different disciplines are used to illustrate the methods and show how they are applied in practice. The R package BTSA, created for the book, includes many of the algorithms and examples presented. The book is essentially self-contained and includes a chapter summarising the prerequisites in undergraduate linear algebra, probability and statistics. An up-to-date and complete account of state space methods, illustrated by real-life data sets and R code, this textbook will appeal to a wide range of students and scientists, notably in the disciplines of statistics, systems engineering, signal processing, data science, finance and econometrics. With numerous exercises in each chapter, and prerequisite knowledge conveniently recalled, it is suitable for upper undergraduate and graduate courses.

Identifiability of State Space Models

2013-03-07 Mathematics
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Release : 2013-03-07
Genre : Mathematics
Kind : eBook
Book Rating : 235/5 ( reviews)

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Book Synopsis Identifiability of State Space Models by : E. Walter

Download or read book Identifiability of State Space Models written by E. Walter. This book was released on 2013-03-07. Available in PDF, EPUB and Kindle. Book excerpt:

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