Multivariate time series with linear state space structure
.PUBLICATION, DISTRIBUTION, ETC
Name of Publisher, Distributor, etc.
Springer
Date of Publication, Distribution, etc.
2016
PHYSICAL DESCRIPTION
Specific Material Designation and Extent of Item
xvii, 541 pages ; 24 cm
CONTENTS NOTE
Text of Note
Orthogonal Projection -- Linear Models -- Stationarity and Linear Time Series Models -- The State Space Model -- Time Invariant State Space Models -- Time Invariant State Space Models With Inputs -- Wiener-Kolmogorov Filtering and Smoothing -- SSMMATLAB