## Applications of computer aided time series modeling |

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### Contents

Masanao Aoki | 3 |

A guide to state space modeling of multiple time series | 15 |

Evaluating state space forecasts of soybean complex prices | 75 |

Copyright | |

8 other sections not shown

### Other editions - View all

Applications of Computer Aided Time Series Modeling Masanao Aoki,Arthur M. Havenner Limited preview - 2012 |

Applications of Computer Aided Time Series Modeling Masanao Aoki,Arthur M Havenner No preview available - 1996 |

### Common terms and phrases

12 Hidden Units Aoki's ARMA model autocorrelations average benchmark bootstrap calculated coefficients cointegration column space computed confidence level correlation covariance matrix COVCHEKE crude oil prize cycle model defined deterministic DJIA dynamics Econometric Economic eigenvalues ESSM exchange rate extended observability matrix Figure filter Finnish Forecast Horizon four series function Futures index Hankel matrix identification in-sample input instrumental variable iterative Kalman Kalman filter labor lag parameter linear MAPE methods model specification monetarist Monthly 9 multivariate N4SID neural networks NMSE nonlinear null hypothesis out-of-sample output parameter estimates performance portfolio prediction QR decomposition Quarterly 9 random walk ratio recurrent neural network residuals returns RMSE Series Analysis SERIES MEANS series models simulated singular value decomposition soybean space model state-space stationary stochastic subspace summary statistics symplectic matrix system order Table Tokyo training set trend and cycle trend model unit roots univariate utility variance vector wheat zero