Testing for random walk coefficients in regression and state space models /

Regression and state space models with time varying coefficients are treated in a thorough manner. State space models are introduced as a means to model time varying regression coefficients. The Kalman filter and smoother recursions are explained in an easy to understand fashion. The main part of th...

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Bibliographic Details

Main Author:	Moryson, Martin, 1964-
Corporate Author:	SpringerLink (Online service)
Format:	eBook
Language:	English
Published:	Heidelberg ; New York : Physica-Verlag, [1998]
Series:	Contributions to statistics.
Subjects:	System analysis. Random walks (Mathematics) State-space methods. Regression analysis. Trayectoria aleatoria (Matemáticas) Métodos estado espacio. Análisis de regresión. Random walks (statistiek) Regressieanalyse. Toestandsruimtemethode. Monte Carlo-methode. Systèmes, Analyse de. Marches aléatoires (mathématiques) Espace des états, Méthodes de l'. Electronic books.
Online Access:	Connect to the full text of this electronic book