Multivariate Time Series With Linear State Space Structure

Dr. Víctor Gómez is a statistician and technical advisor at the Spanish Ministry of Finance and Public Administrations in Madrid. His professional activity 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 or time series filtering.

“The book under review is a mathematically solid and comprehensive text, covering in detail the main ingredients of linear estimation theory in state space models. Its emphasis is on the state estimation problems, rather than on statistical inference of the unknown parameters of the model, and from this point of view its scope and spirit is closer to the engineering literature, and to the standard reference … .” (Pavel Chigansky, Mathematical Reviews, May, 2017)

• Preface.- Computer Software.- Orthogonal Projection.- Linear Models.- Stationarity and Linear Time Series Models.- The State Space Model.- Time Invariant State Space Models.- Time Invariant State Space Models With Inputs.- Wiener–Kolmogorov Filtering and Smoothing.- SSMMATLAB.- Bibliography.- Author Index.- Subject Index.