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

Softcover

ISBN 10: 1107407435 ISBN 13: 9781107407435

Publisher: Cambridge University Press, 2012

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.

About this title

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).

Edition details

• Publisher: Cambridge University Press
• Publication date: 2012
• Language: English
• ISBN 10: 1107407435
• ISBN 13: 9781107407435
• Binding: Paperback
• Number of pages: 398
• Editor: Harvey Andrew, Koopman Siem Jan, Shephard Neil