Linear Time Series with MATLAB and OCTAVE

Dr. Víctor Gómez is a statistician and technical advisor at the Spanish Ministry of Finance and Public Administrations in Madrid. His work involves statistical, econometric and, above all, time series analysis of macroeconomic data, mostly in connection with short-term economic analysis. More recently, he has focused on research in the field of time series analysis and the development of software for time series analysis. He has also taught numerous courses on time series analysis and related topics such as short-term forecasting, seasonal adjustment methods and time series filtering.

• Preface.- Software Installation.- Stationarity, VARMA and ARIMA Models.- VARMAX and Transfer Function Models.- Unobserved Components in Univariate Series.- Spectral Analysis.- Computing Echelon Forms by Polynomial Methods.- Multivariate Structural Models.- Cointegrated VARMA Models.- Simulation of Common Univariate and Multivariate Models.- The State Space Model.- SSMMATLAB Examples by Subject.- Author Index.- Subject Index.