Description: Forecasting, Structural Time Series Models and the Kalman Filter by Andrew C. Harvey This book is concerned with modelling economic and social time series and with addressing the special problems which the treatment of such series pose. It is unique in its use of Kalman filtering with econometric and time series modelling. FORMAT Paperback LANGUAGE English CONDITION Brand New Publisher Description 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. Table of Contents 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. Review … if youre looking for a state of the art monograph on applied aspects of state-space representations, and Kalman filtering … then Harveys book is required reading. Econometric Theory Promotional This book is concerned with modelling economic and social time series and with addressing the special problems which the treatment of such series pose. Review Quote "It is difficult to compare this well-written, practical book to other books on time series because it is unique and unconventional in its approach to the subject....It accomplishes the difficult task of making the subject accessible to students and practitioners having relatively modest preparation in mathematics and statistics. I recommend it for acquisition by any undergraduate/graduate sciences or mathematics library, and it would be an excellent choice for a wide variety of classroom uses." John E. Angus, Technometrics Promotional "Headline" This book is concerned with modelling economic and social time series and with addressing the special problems which the treatment of such series pose. Description for Bookstore This book is concerned with modelling economic and social time series and with addressing the special problems which the treatment of such series pose. It is unique in its use of Kalman filtering with econometric and time series modelling. Description for Library This book is concerned with modelling economic and social time series and with addressing the special problems which the treatment of such series pose. It is unique in its use of Kalman filtering with econometric and time series modelling. Details ISBN0521405734 Author Andrew C. Harvey Short Title FORECASTING STRUCTURAL TIME SE Pages 572 Publisher Cambridge University Press Language English ISBN-10 0521405734 ISBN-13 9780521405737 Media Book Format Paperback DEWEY 519.55 Year 1991 Publication Date 1991-02-28 Imprint Cambridge University Press Place of Publication Cambridge Country of Publication United Kingdom Affiliation London School of Economics and Political Science Edition Description Revised DOI 10.1604/9780521405737 UK Release Date 1991-02-28 AU Release Date 1991-02-28 NZ Release Date 1991-02-28 Illustrations Worked examples or Exercises Alternative 9780521321969 Audience Professional & Vocational We've got this At The Nile, if you're looking for it, we've got it. With fast shipping, low prices, friendly service and well over a million items - you're bound to find what you want, at a price you'll love! TheNile_Item_ID:91376682;
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ISBN-13: 9780521405737
Book Title: Forecasting, Structural Time Series Models and the Kalman Filter
Number of Pages: 572 Pages
Language: English
Publication Name: Forecasting, Structural Time Series Models and the Kalman Filter
Publisher: Cambridge University Press
Publication Year: 1991
Subject: Economics, Mathematics
Item Height: 229 mm
Item Weight: 830 g
Type: Textbook
Author: Andrew C. Harvey
Item Width: 152 mm
Format: Paperback
