State Space and Unobserved Component Models: Theory and Applications

ISBN-13: 9781107407435 / Angielski / Miękka / 2012 / 398 str.

Andrew Harvey; Siem Jan Koopman; Neil Shephard

Opis

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.