State Space Modeling of Time Series

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1. Verfasser: Aoki, Masanao 1931-2018 (VerfasserIn)
Format: Elektronisch E-Book
Sprache:English
Veröffentlicht: Berlin, Heidelberg Springer Berlin Heidelberg 1987
Schriftenreihe:Universitext
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500 |a 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 dimension 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 construction is similar to the one used in this book. There are some important differences, however. Akaike uses the normalized Hankel matrix to extract canonical vectors, while the method used in this book does not normalize the Hankel matrix 
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Datensatz im Suchindex

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publishDate 1987
publishDateSearch 1987
publishDateSort 1987
publisher Springer Berlin Heidelberg
record_format marc
series2 Universitext
spellingShingle Aoki, Masanao 1931-2018
State Space Modeling of Time Series
Economics
Economics/Management Science
Economic Theory
Management
Wirtschaft
Zeitreihenanalyse (DE-588)4067486-1 gnd
Modell (DE-588)4039798-1 gnd
Zustandsraum (DE-588)4132647-7 gnd
Zeitreihe (DE-588)4127298-5 gnd
Datenanalyse (DE-588)4123037-1 gnd
subject_GND (DE-588)4067486-1
(DE-588)4039798-1
(DE-588)4132647-7
(DE-588)4127298-5
(DE-588)4123037-1
title State Space Modeling of Time Series
title_auth State Space Modeling of Time Series
title_exact_search State Space Modeling of Time Series
title_full State Space Modeling of Time Series by Masanao Aoki
title_fullStr State Space Modeling of Time Series by Masanao Aoki
title_full_unstemmed State Space Modeling of Time Series by Masanao Aoki
title_short State Space Modeling of Time Series
title_sort state space modeling of time series
topic Economics
Economics/Management Science
Economic Theory
Management
Wirtschaft
Zeitreihenanalyse (DE-588)4067486-1 gnd
Modell (DE-588)4039798-1 gnd
Zustandsraum (DE-588)4132647-7 gnd
Zeitreihe (DE-588)4127298-5 gnd
Datenanalyse (DE-588)4123037-1 gnd
topic_facet Economics
Economics/Management Science
Economic Theory
Management
Wirtschaft
Zeitreihenanalyse
Modell
Zustandsraum
Zeitreihe
Datenanalyse
url https://doi.org/10.1007/978-3-642-96985-0
work_keys_str_mv AT aokimasanao statespacemodelingoftimeseries