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Time Series Analysis by State Space MethodsSecond Edition$
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James Durbin and Siem Jan Koopman

Print publication date: 2012

Print ISBN-13: 9780199641178

Published to Oxford Scholarship Online: December 2013

DOI: 10.1093/acprof:oso/9780199641178.001.0001

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Non-Gaussian and nonlinear illustrations

Non-Gaussian and nonlinear illustrations

(p.312) 14 Non-Gaussian and nonlinear illustrations
Time Series Analysis by State Space Methods

J. Durbin

S.J. Koopman

Oxford University Press

This chapter discusses examples which illustrate the methods that were developed in Part II for analysing observations using non-Gaussian and nonlinear state space models. These include the monthly number of van drivers killed in road accidents in Great Britain modelled by a Poisson distribution; the usefulness of the t-distribution for modelling observation errors in a gas consumption series containing outliers; the volatility of exchange rate returns; and fitting a binary model to the results of the annual boat race between teams of the universities of Oxford and Cambridge.

Keywords:   non-Gaussian models, nonlinear models, Poisson distribution, t-distribution, volatility, binary model

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