Andrew C. Harvey (London School of Economics and Political Science)

Forecasting, Structural Time Series Models and the Kalman Filter

• Broschiertes Buch

Produktbeschreibung

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.

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Produktdetails

• Verlag: Cambridge University Press
• Seitenzahl: 572
• Erscheinungstermin: 15. Mai 2003
• Englisch
• Abmessung: 229mm x 152mm x 34mm
• Gewicht: 858g
• ISBN-13: 9780521405737
• ISBN-10: 0521405734
• Artikelnr.: 21580895

Inhaltsangabe

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.