Forecasting, Structural Time Series Models and the Kalman Filter

Harvey A. C. Harvey Andrew C.

ISBN 10: 0521405734 / ISBN 13: 9780521405737

Published by Cambridge University Press, 1991

About this Item

pp. 572 Figure, 2:B&W 6 x 9 in or 229 x 152 mm Perfect Bound on Creme w/Gloss Lam.

Seller Inventory # 7412697

Bibliographic Details

• Title: Forecasting, Structural Time Series Models and the Kalman Filter
• Publisher: Cambridge University Press
• Publication Date: 1991
• Language: English
• ISBN 10: 0521405734
• ISBN 13: 9780521405737
• Binding: Soft cover
• Condition: New

About this title

Synopsis

This book provides a synthesis of concepts and materials that ordinarily appear separately in time series and econometrics literature, presenting a comprehensive review of both theoretical and applied concepts. Perhaps the most novel feature of the book is its use of Kalman filtering together with econometric and time series methodology. From a technical point of view, state space models and the Kalman filter play a key role in the statistical treatment of structural time series models. This technique was originally developed in control engineering but is becoming increasingly important in economics and operations research. The book is primarily concerned with modeling economic and social time series and with addressing the special problems that the treatment of such series pose.

Book Description

A synthesis of concepts and materials, that ordinarily appear separately in time series and econometrics literature, presents a comprehensive review of theoretical and applied concepts in modeling economic and social time series.