Linear Time Series with MATLAB and Octave

Preface.- Software Installation.- Stationarity, VARMA and ARIMA Models.- VARMAX and Transfer Function Models.- Unobserved Components in Univariate Series.- Spectral Analysis.- Computing Echelon Forms by Polynomial Methods.- Multivariate Structural Models.- Cointegrated VARMA Models.- Simulation of Common Univariate and Multivariate Models.- The State Space Model.- SSMMATLAB Examples by Subject.- Author Index.- Subject Index.