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1、RecursiveEstimationandTime-SeriesAnalysis•PeterC.YoungRecursiveEstimationandTime-SeriesAnalysisAnIntroductionfortheStudentandPractitionerSecondedition123Prof.PeterC.YoungGreenMeadows,StanmoreDriveLA15BLHaverbreaks,LancasterUnitedKingdomp.young@lancaster.ac.ukISBN978-3-642-
2、21980-1e-ISBN978-3-642-21981-8DOI10.1007/978-3-642-21981-8SpringerHeidelbergDordrechtLondonNewYorkLibraryofCongressControlNumber:2011935045cSpringer-VerlagBerlinHeidelberg2011Thisworkissubjecttocopyright.Allrightsarereserved,whetherthewholeorpartofthematerialisconcerned,s
3、pecificallytherightsoftranslation,reprinting,reuseofillustrations,recitation,broadcasting,reproductiononmicrofilmorinanyotherway,andstorageindatabanks.DuplicationofthispublicationorpartsthereofispermittedonlyundertheprovisionsoftheGermanCopyrightLawofSeptember9,1965,initscur
4、rentversion,andpermissionforusemustalwaysbeobtainedfromSpringer.ViolationsareliabletoprosecutionundertheGermanCopyrightLaw.Theuseofgeneraldescriptivenames,registerednames,trademarks,etc.inthispublicationdoesnotimply,evenintheabsenceofaspecificstatement,thatsuchnamesareexemp
5、tfromtherelevantprotectivelawsandregulationsandthereforefreeforgeneraluse.Coverdesign:SPiPublisherServicesPrintedonacid-freepaperSpringerispartofSpringerScience+BusinessMedia(www.springer.com)ToWendy•PrefaceThisisarevisedversionofmy1984bookofthesamenamebut,becausesomuchtim
6、ehaselapsedsincethepublicationofthefirstversion,ithasbeenconsiderablymodifiedandenlargedtoaccommodateallthedevelopmentsinrecursiveestimationandtimeseriesanalysisthathaveoccurredoverthelastquartercentury.Alsooverthistime,theCAPTAINToolboxforrecursiveestimationandtimeseriesana
7、lysishasbeendevelopedbymycolleaguesandIatLancaster,foruseintheMatlabTMsoftwareenvironment(seeAppendixG).Consequently,thepresentversionofthebookisabletoexploitthemanycomputationalroutinesthatarecontainedinthiswidelyavailableToolbox,aswellassomeoftheotherroutinesinMatlabandi
8、tsothertoolboxes.Thebookisanintroductoryoneonthetopicofrecursiveestimationanditdemonstrat