TY  - BOOK
AU  - Kitagawa,G.
TI  - Introduction to time series modeling
T2  - Monographs on statistics and applied probability
SN  - 9781584889212
AV  - QA402 .K55 2010
PY  - 2010///
CY  - Boca Raton
PB  - Chapman & Hall/CRC
KW  - State-space methods
KW  - Time-series analysis
N1  - Includes bibliographical references and index; 1. Introduction and preparatory analysis -- 2. The covariance function -- 3. The power spectrum and the periodogram -- 4. Statistical modeling -- 5. The least squares method -- 6. Analysis of time series using ARMA models -- 7. Estimation of an AR model -- 8. The locally stationary AR model -- 9. Analysis of time series with a state-space model -- 10. Estimation of the ARMA model -- 11. Estimation of trends -- 12. The seasonal adjustment model -- 13. Time-varying coefficient AR model -- 14. Non-gaussian state-space model -- 15. The sequential Monte Carlo filter -- 16. Simulation -- A. Algorithms for nonlinear optimization -- B. Derivation of Levinson's algorithm -- C. Derivation of the Kalman filter and smoother algorithms -- D. Algorithm for the Monte Carlo filter.; Also available as an electronic resource
ER  -