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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.
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State Space and Unobserved Component Models Theory and Applications
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STATE SPACE AND UNOBSERVED COMPONENT MODELS: THEORY AND APPLICATIONS
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STATE SPACE AND UNOBSERVED COMPONENT MODELS THEORY AND APPLICATIONS (HB 2004)
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