State Space and Unobserved Component Models: Theory and Applications - Hardcover

 
9780521835954: State Space and Unobserved Component Models: Theory and Applications
Hardcover
ISBN 10: 052183595X ISBN 13: 9780521835954
Publisher: Cambridge University Press, 2004

Synopsis

Offering a broad overview of the state-of-the-art developments in the theory and applications of state space modeling, fourteen chapters from twenty-three contributors present a unique synthesis of state space methods and unobserved component models important in a wide range of subjects. They include economics, finance, environmental science, medicine and engineering. A useful reference for all researchers and students who use state space methodology, this accessible volume makes a significant contribution to the advancement of the discipline.

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Book Description

This volume offers a broad overview of the state-of-the-art developments in the theory and applications of state space modeling. With fourteen chapters from twenty three contributors, it offers a unique synthesis of state space methods and unobserved component models that are important in a wide range of subjects, including economics, finance, environmental science, medicine and engineering. Offering a useful reference for all researchers and students who use state space methodology, this accessible volume makes a significant contribution to the advancement of this discipline.

About the Author

Andrew Harvey is Professor of Econometrics and Fellow of Corpus Christi College, University of Cambridge. He is the author of the Econometric Analysis of Time Series (1981), Time Series Models (1981) and Forecasting: Structural Time Series Models and the Kalman Filter (1989). Siem Jan Koopman is Professor of Econometrics at the Free University Amsterdam and Research Fellow of Tinbergen Institute, Amsterdam. He has published in international journals and is co-author of Time Series Analysis by State Space Models (with J. Durbin, 2001). Neil Shephard is Professor of Economics and Official Fellow, Nuffield College, Oxford University. He is the Editor of Econometrics Journal.

"About this title" may belong to another edition of this title.

Publisher
Cambridge University Press
Publication date
2004
Language
English
ISBN 10 
052183595X
ISBN 13 
9780521835954
Binding
Hardcover
Number of pages
394
Editor
Harvey Andrew, Koopman Siem Jan, Shephard Neil

Other Popular Editions of the Same Title

9781107407435: State Space and Unobserved Component Models: Theory and Applications

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ISBN 10:  1107407435 ISBN 13:  9781107407435
Publisher: Cambridge University Press, 2012
Softcover