Multivariate time series with linear state space structure

DOI10.1007/978-3-319-28599-3MaRDI QIDQ2812520zbMATH OpenOpenAlexFDO

Authors Víctor Gómez

Publication date 16 June 2016

Full work available at URL https://doi.org/10.1007/978-3-319-28599-3

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Software, source code, etc. for problems pertaining to statistics (62-04) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

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Cited in

(7)

• Multivariate time series analysis with state space models
• The multivariate bullwhip effect
• Casting vector time series: algorithms for forecasting, imputation, and signal extraction
• State-space methods for time series analysis. Theory, applications and software
• scientific article; zbMATH DE number 3980305 (Why is no real title available?)
• Linear time series with MATLAB and OCTAVE
• Spatiotemporal analysis using Riemannian composition of diffusion operators

Describes a project that uses

Uses Software

• Matlab
• SSMMATLAB

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