1 edition of **Recursive Estimation and Time-Series Analysis** found in the catalog.

- 46 Want to read
- 5 Currently reading

Published
**1984**
by Springer Berlin Heidelberg in Berlin, Heidelberg
.

Written in English

- Engineering

**Edition Notes**

Statement | by Peter Young |

Series | Communications and Control Engineering Series, Communications and Control Engineering Series |

Classifications | |
---|---|

LC Classifications | TJ210.2-211.495, TJ163.12 |

The Physical Object | |

Format | [electronic resource] : |

Pagination | v. |

ID Numbers | |

Open Library | OL27084888M |

ISBN 10 | 3642823386, 364282336X |

ISBN 10 | 9783642823381, 9783642823367 |

OCLC/WorldCa | 851380717 |

Recursive Estimation and Time-Series Analysis: An Introduction for the Student and Practitioner: : Young, Peter C.: Libri in altre lingue5/5(1). • Open-book. • Covers all of the course. • Best four out of ﬁve questions. 1. Introduction to Time Series Analysis: Review 1. Time series modelling. 2. Time domain. (a) Concepts of stationarity, ACF. (b) Linear processes, causality, invertibility. (c) ARMA models, forecasting, estimation.

Abstract. This is a revised version of the book of the same name but considerably modified and enlarged to accommodate the developments in recursive estimation and time series analysis that have occurred over the last quarter : Peter Young. The feature that distinguishes a time series from classical statistics is that there is dependence in the observations. This allows us to obtain better forecasts of future observations. Keep Figure in mind, and compare this to the following real examples of time series (observe in all these examples you see patterns). Time Series data.

Typically, a time series model can be described as X t= m t+ s t+ Y t; () where m t: trend component; s t: seasonal component; Y t: Zero-mean error: The following are some zero-mean models: Example (iid noise) The simplest time series model is the one with no . 3 Recursive Regression We may use the theory of conditional expectations in the appendix to derive the algorithm for recursive estimation of the classical linear regression model. The tth instance of the regression relationship is y t = x t β +ε t, (1) where y t is a scalar value and x t is a vector of k elements. The disturbances εCited by:

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This is a revised version of the book of the same name but considerably modified and enlarged to accommodate the developments in recursive estimation and time series analysis that have occurred over the last quarter century.

Also over this time, the CAPTAIN Toolbox for recursive estimation. Recursive Estimation and Time-Series Analysis An Introduction.

Authors: Young, The book is primarily intended to provide an introductory set of lecture notes on the subject of recursive estimation to undergraduate/Masters students. However, the book can also be considered as a "theoretical background" handbook for use with the CAPTAIN. This is a revised version of the book of the same name but considerably modified and enlarged to accommodate the developments in recursive estimation and time series analysis that have occurred over the last quarter by: The book is an introductory one on the matter of recursive estimation and it demonstrates how this technique to estimation, in its quite a few varieties, is perhaps a strong help to the modelling of stochastic, dynamic methods.

Note: If you're looking for a free download links of Recursive Estimation and Time-Series Analysis: An. This is a revised version of the book of the same name but considerably modified and enlarged to accommodate the developments in recursive estimation and time series analysis that have occurred over the last quarter century.

The field of Time-Series Analysis is devoted to the estimation of numerical models for input-free data, with particular consideration of time-varying systems [Young,Hasselmann et al., Recursive Estimation and Time-Series Analysis An Introduction.

Authors (view affiliations) This book has grown out of a set of lecture notes prepared originally for a NATO Summer School on "The Theory and Practice of Systems ModelLing and Identification" held between the 17th and 28th July, at the Ecole Nationale Superieure de L.

This is a revised version of the book of the same name but considerably modified and enlarged to accommodate the developments in recursive estimation and time series analysis that. Get this from a library. Recursive estimation and time-series analysis: an introduction. [Peter C Young] -- New York: Spring-Verlag, springer, This is a revised version of the book of the same name but considerably modified and enlarged to accommodate the developments in recursive estimation and time series analysis that have occurred over the last quarter century.

Also over this time, the CAPTAIN Toolbox for recursive estimation and time series analysis has been developed at Lancaster, for use in the MatlabTM software.

Recursive Estimation and Time-Series Analysis An Introduction for the Student and Practitioner Ap Springer. To Wendy. Preface This is a revised version of my book of the same name but, because so much time has elapsed since the publication of the ﬁrst version, it has been considerably 2 Recursive Estimation: A Simple.

ON RECURSIVE ESTIMATION FOR TIME VARYING AUTOREGRESSIVE PROCESSES By Eric Moulines, Pierre Priouret and Franc¸ois Roueff GET/T´el´ecom Paris, CNRS LTCI, Universit´e Paris VI and GET/T´el´ecom Paris, CNRS LTCI This paper focuses on recursive estimation of time varying au-toregressive processes in a nonparametric setting.

The stability of the. Recursive Estimation and Time-Series Analysis An Introduction for the Student and Practitioner Second edition fyj Springer. Contents 1 Introduction 1 The Historical Context 1 The Contents of the Book 4 Software 7 The Aims of the Book 8 Part I Recursive Estimation of Parameters in Linear Regression Models 2 Recursive Estimation File Size: KB.

Applied Time Series Analysis II contains the proceedings of the Second Applied Time Series Symposium Held in Tulsa, Oklahoma, on MarchThe symposium provided a forum for discussing significant advances in time series analysis and signal processing.

Comprised of 10 chapters, this book begins by describing the application of parametric models to the analysis and control of time series using some numerical examples. The reader is then introduced to nonlinear time series modeling; two-dimensional recursive filtering in.

Book Description. With a focus on analyzing and modeling linear dynamic systems using statistical methods, Time Series Analysis formulates various linear models, discusses their theoretical characteristics, and explores the connections among stochastic dynamic models.

Emphasizing the time domain description, the author presents theorems to highlight the most important results, proofs to. Free 2-day shipping. Buy Recursive Estimation and Time-Series Analysis: An Introduction for the Student and Practitioner (Hardcover) at nd: Peter C Young.

Recursive Approaches to Time Series Analysis. Exploiting the power of recursive estimation, state dependent nonlinearities are identified objectively from the time-series data and used as the. Introduction to Time Series Analysis. Lecture 1. Review: Time series modelling and forecasting 2.

Parameter estimation 3. Maximum likelihood estimator 4. Yule-Walker estimation 5. Yule-Walker estimation: example 6File Size: 57KB. Author: Helmut Lütkepohl; Publisher: Springer Science & Business Media ISBN: Category: Business & Economics Page: View: DOWNLOAD NOW» This is the new and totally revised edition of Lütkepohl’s classic work.

It provides a detailed introduction to the main steps of analyzing multiple time series, model specification, estimation, model checking, and for using the. series analysis. The impact of time series analysis on scienti c applications can be par-tially documented by producing an abbreviated listing of the diverse elds in which important time series problems may arise.

For example, many fa-miliar time series occur in the eld of economics, where we are continually. In this revised edition, some additional topics have been added to the original version, and certain existing materials have been expanded, in an attempt to pro vide a more complete coverage of the topics of time-domain multivariate time series modeling and analysis.

The most notable new addition is an entirely new chapter that gives accounts on various topics that arise when exogenous vari.Praise for the Fourth Edition The book follows faithfully the style of the original edition. The approach is heavily motivated by real-world time series, and by developing a complete approach to model building, estimation, forecasting and atical Reviews Bridging classical models and modern topics, the Fifth Edition of Time Series Analysis: Forecasting and Control maintains a.