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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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Illustrations of the use of the linear model

Illustrations of the use of the linear model

(p.190) 8 Illustrations of the use of the linear model
Time Series Analysis by State Space Methods

J. Durbin

S.J. Koopman

Oxford University Press

This chapter discusses examples which show how the use of the linear model works in practice. The first example is an analysis of road accident data to estimate the reduction in car drivers killed and seriously injured in the UK due to the introduction of a seat belt law. The second example considers a bivariate model which includes data on numbers of front seat passengers killed and seriously injured and on numbers of rear seat passengers killed and seriously injured. The third example shows how state space methods can be applied to Box-Jenkins ARMA models employed to model series of users logged onto the Internet. The fourth example considers the state space solution to the spline smoothing of motorcycle acceleration data. The fifth example provides a dynamic factor analysis based on the linear Gaussian model for the term structure of interest rates paid on US Treasury securities.

Keywords:   linear model, structural time series model, bivariate structural time series analysis, Box-Jenkins analysis, spline smoothing, dynamic factor analysis

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