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Published: 05 July 2012

368 Pages | 34 b/w illustrations

9.2 x 6.1 inches

ISBN: 9780199641178

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Bookseller Code (06)

Time Series Analysis by State Space Methods

Second Edition

James Durbin and Siem Jan Koopman

Oxford Statistical Science Series

  • Clear, comprehensive introudction to the state space approach to time series analysis
  • Analysis of nonlinear and non-Gaussian state space methods
  • Complete treatment of linear Gaussian models
  • New material including the filtering of nonlinear and non-Gaussian series and exercise sections
  • Extensive foundation of filtering and smoothing
  • Updated discussions on simulation smoothing methods
  • New sections on dynamic factor analysis, state smoothing analysis and more detail on Markov chain Monte Carlo methods
  • Now includes exercise sections

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