recursive estimation and time-series analysis (peter c. young)

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1、RecursiveEstimationandTime-SeriesAnalysis?PeterC.YoungRecursiveEstimationandTime-SeriesAnalysisAnIntroductionfortheStudentandPractitionerSecondedition123Prof.PeterC.YoungGreenMeadows,StanmoreDriveLA15BLHaverbreaks,LancasterUnitedKingdomp.young@lancaster.ac.ukISBN978-3-642-

2、21980-1e-ISBN978-3-642-21981-8DOI10.1007/978-3-642-21981-8SpringerHeidelbergDordrechtLondonNewYorkLibraryofCongressControlNumber:2011935045cSpringer-VerlagBerlinHeidelberg2011Thisworkissubjecttocopyright.Allrightsarereserved,whetherthewholeorpartofthematerialisconcerned,s

3、peci?callytherightsoftranslation,reprinting,reuseofillustrations,recitation,broadcasting,reproductiononmicro?lmorinanyotherway,andstorageindatabanks.DuplicationofthispublicationorpartsthereofispermittedonlyundertheprovisionsoftheGermanCopyrightLawofSeptember9,1965,initscur

4、rentversion,andpermissionforusemustalwaysbeobtainedfromSpringer.ViolationsareliabletoprosecutionundertheGermanCopyrightLaw.Theuseofgeneraldescriptivenames,registerednames,trademarks,etc.inthispublicationdoesnotimply,evenintheabsenceofaspeci?cstatement,thatsuchnamesareexemp

5、tfromtherelevantprotectivelawsandregulationsandthereforefreeforgeneraluse.Coverdesign:SPiPublisherServicesPrintedonacid-freepaperSpringerispartofSpringerScience+BusinessMedia(www.springer.com)ToWendy?PrefaceThisisarevisedversionofmy1984bookofthesamenamebut,becausesomuchtim

6、ehaselapsedsincethepublicationofthe?rstversion,ithasbeenconsiderablymodi?edandenlargedtoaccommodateallthedevelopmentsinrecursiveestimationandtimeseriesanalysisthathaveoccurredoverthelastquartercentury.Alsooverthistime,theCAPTAINToolboxforrecursiveestimationandtimeseriesana

7、lysishasbeendevelopedbymycolleaguesandIatLancaster,foruseintheMatlabTMsoftwareenvironment(seeAppendixG).Consequently,thepresentversionofthebookisabletoexploitthemanycomputationalroutinesthatarecontainedinthiswidelyavailableToolbox,aswellassomeoftheotherroutinesinMatlabandi

8、tsothertoolboxes.Thebookisanintroductoryoneonthetopicofrecursiveestimationanditdemonstrat