Forecasting, Structural Time Series Models and the Kalman

Forecasting, Structural Time Series Models and the Kalman Filter

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.

Country	USA
Author	Andrew C. Harvey
Binding	Paperback
Brand	Brand: Cambridge University Press
EAN	9780521405737
Edition	Reprint
Feature	Used Book in Good Condition
ISBN	0521405734
IsEligibleForTradeIn	1
Label	Cambridge University Press
Manufacturer	Cambridge University Press
MPN	A-171-471
NumberOfItems	1
NumberOfPages	572
PartNumber	A-171-471
PublicationDate	1991-04-26
Publisher	Cambridge University Press
Studio	Cambridge University Press
ReleaseDate	0000-00-00

Forecasting, Structural Time Series Models and the Kalman Filter