Time series analysis
- To: mathgroup at smc.vnet.net
- Subject: [mg21624] Time series analysis
- From: V Stokes <birdy00 at bu.edu>
- Date: Tue, 18 Jan 2000 02:35:13 -0500 (EST)
- Sender: owner-wri-mathgroup at wolfram.com
Has anyone written Mathematica code for the Kitagawa approach to time
series analysis? This method was described in,
Kitagawa, G. (1987) Non-Gaussian state space modeling of
nonstationary time series. Journal of American Statistical
Association, 82, pp. 1032-1063
It has also been described in,
Kitagawa, G. and Gersch, W. (1996) Smoothness Priors Analysis of Time
Series, Lecture Notes in Statistics, No. 116, Springer-Verlag, NY.
This is a very powerful state-space approach to times series analysis
that does not require the usual assumption of Gaussian processes.
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working with large strings.