Forecasting, Structural Time Series Models and the Kalman Filter

Harvey, Andrew C.

ISBN 10: 0521321964 / ISBN 13: 9780521321969

Verlag: Cambridge University Press, 1990

Book is in good condition and may include underlining highlighting and minimal wear. The book can also include "From the library of" labels. May not contain miscellaneous items toys, dvds, etc. . We offer 100% money back guarantee and 24 7 customer service. Bestandsnummer des Verkäufers ZEV.0521321964.G

Inhaltsangabe:

In this book, Andrew Harvey sets out to provide a unified and comprehensive theory of structural time series models. Unlike the traditional ARIMA models, structural time series models consist explicitly of unobserved components, such as trends and seasonals, which have a direct interpretation. As a result the model selection methodology associated with structural models is much closer to econometric methodology. The link with econometrics is made even closer by the natural way in which the models can be extended to include explanatory variables and to cope with multivariate time series. From the technical point of view, state space models and the Kalman filter play a key role in the statistical treatment of structural time series models. The book includes a detailed treatment of the Kalman filter. This technique was originally developed in control engineering, but is becoming increasingly important in fields such as economics and operations research. This book is concerned primarily with modelling economic and social time series, and with addressing the special problems which the treatment of such series poses. The properties of the models and the methodological techniques used to select them are illustrated with various applications. These range from the modellling of trends and cycles in US macroeconomic time series to to an evaluation of the effects of seat belt legislation in the UK.

Über die Autorin bzw. den Autor: Charlotte y Peter Fiell son dos autoridades en historia, teoría y crítica del diseño y han escrito más de sesenta libros sobre la materia, muchos de los cuales se han convertido en éxitos de ventas. También han impartido conferencias y cursos como profesores invitados, han comisariado exposiciones y asesorado a fabricantes, museos, salas de subastas y grandes coleccionistas privados de todo el mundo. Los Fiell han escrito numerosos libros para TASCHEN, entre los que se incluyen 1000 Chairs, Diseño del siglo XX, El diseño industrial de la A a la Z, Scandinavian Design y Diseño del siglo XXI.

Bibliografische Details

Titel: Forecasting, Structural Time Series Models ...
Verlag: Cambridge University Press
Erscheinungsdatum: 1990
Einband: Hardcover
Zustand: good