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