Forecasting, Structural Time Series Models & the Kalman Filter

ISBN-13: 9780521321969 / Angielski / Twarda / 1990 / 572 str.

Andrew C. Harvey

Opis

This book is concerned with modelling economic and social time series and with addressing the special problems which the treatment of such series pose.

Recenzje

'… if you're looking for a state of the art monograph on applied aspects of state-space representations, and Kalman filtering … then Harvey's book is required reading.' Econometric Theory

Spis treści

List of figures; Acknowledgement; Preface; Notation and conventions; List of abbreviations; 1. Introduction; 2. Univariate time series models; 3. State space models and the Kalman filter; 4. Estimation, prediction and smoothing for univariate structural time series models; 5. Testing and model selection; 6. Extensions of the univariate model; 7. Explanatory variables; 8. Multivariate models; 9. Continuous time; Appendices; Selected answers to exercises; References; Author index; Subject index.