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MathGroup Archive 2000

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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.

--Virgil




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