Detail kurzu

State Space Modeling Essentials Using the SSM Procedure in SAS/ETS(R)

EDU Trainings s.r.o.

Popis kurzu

This course covers the fundamentals of building and applying state space models using the SSM procedure (SAS/ETS). Students are presented with an overview of the model and learn advantages of the State Space approach. The course also describes fundamental model details, presents some straightforward examples of specifying and fitting models using the SSM procedure, and considers estimation in SSM, focusing on the Kalman filter and related details. The course concludes with a variety of SSM modeling applications, focused mainly on time series.

Obsah kurzu

State Space Modelsintroductionreasons for using a state space modelstate space model frameworkBasic Modeling Using the SSM Procedureidentifying state space model componentsfitting basic modelsIntroduction to the Kalman Filter and Estimation in the SSM Frameworkstate space models and regressionfilteringdiffuse starting valuesfiltering resultssmoothed estimatesMore Modeling Examples Using the SSM Procedureaccommodating an endogenous input variable in an SSMDemonstration: Specifying and estimating a transfer function model in the SSM procedurea multivariate modelcointegration

Cieľová skupina

Time series modelers and analysts who want to take advantage of a flexible and visual approach to modeling sequential data
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