This chapter reviews the usefulness of the Kalman filter for parameter estimation and
inference about unobserved variables in linear dynamic systems. Applications include exact …

This new edition of this classic title, now in its seventh edition, presents a balanced and
comprehensive introduction to the theory, implementation, and practice of time series …

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 …

Climatology is, to a large degree, the study of the statistics of our climate. The powerful tools
of mathematical statistics therefore find wide application in climatological research. The …

Modelling based on finite mixture distributions is a rapidly developing area with the range of
applications exploding. Finite mixture models are nowadays applied in such diverse areas …

X-12-ARIMA is the Census Bureau's new seasonal-adjustment program. It provides four
types of enhancements to X-ll-ARIMA—(1) alternative seasonal, trading-day, and holiday …

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 …

The Kalman recursion for state space models is extended to allow for likelihood evaluation
and minimum mean square estimation given states with an arbitrarily large covariance …

TRAMO (" Time Series Regression with ARlMA Noise, Missing Observations, and Outliers")
is a program written in Fortran for mainframes and pes under MS-Dos. The program …

In this paper, we analyse the evolution of prices in deregulated electricity markets. We
present a general model that simultaneously takes into account the following features …