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

Harvey; Koopman; Shephard

Hardcover

ISBN 10: 052183595X ISBN 13: 9780521835954

Verlag: Cambridge University Press, 2004

Inhaltsangabe

This 2004 volume offers a broad overview of developments in the theory and applications of state space modeling. With contributions from renowned experts, it offers a unique synthesis of state space methods and unobserved component models, important in a wide range of subjects, including economics, finance, medicine and engineering.

Über diesen Titel

Críticas

Review of the hardback: 'There is much in this book, and I would heartily recommend it to specialists and librarians. I know of no other comparable text.' Journal of the Royal Statistical Society

Biografía del autor

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.

Details zur Ausgabe

• Verlag: Cambridge University Press
• Erscheinungsdatum: 2004
• ISBN 10: 052183595X
• ISBN 13: 9780521835954
• Einband: Tapa dura
• Sprache: Englisch
• Anzahl der Seiten: 394