State Space and Unobserved Component Models: Theory and Applications - Hardcover

Hardcover

ISBN 10: 052183595X ISBN 13: 9780521835954

Publisher: Cambridge University Press, 2004

Synopsis

This 2004 volume offers a broad overview of developments in the theory and applications of state space modeling. With fourteen chapters from twenty-three contributors, it offers a unique synthesis of state space methods and unobserved component models that are important in a wide range of subjects, including economics, finance, environmental science, medicine and engineering. The book is divided into four sections: introductory papers, testing, Bayesian inference and the bootstrap, and applications. It will give those unfamiliar with state space models a flavour of the work being carried out as well as providing experts with valuable state of the art summaries of different topics. Offering a useful reference for all, this accessible volume makes a significant contribution to the literature of this discipline.

About this title

About the Author

Andrew Harvey is Professor of Econometrics and Fellow of Corpus Christi College, University of Cambridge. He is the author of the Econometric Analysis of Time Series (1981), Time Series Models (1981) and Forecasting: Structural Time Series Models and the Kalman Filter (1989). Siem Jan Koopman is Professor of Econometrics at the Free University Amsterdam and Research Fellow of Tinbergen Institute, Amsterdam. He has published in international journals and is co-author of Time Series Analysis by State Space Models (with J. Durbin, 2001). Neil Shephard is Professor of Economics and Official Fellow, Nuffield College, Oxford University. He is the Editor of Econometrics Journal.

Edition details

• Publisher: Cambridge University Press
• Publication date: 2004
• Language: English
• ISBN 10: 052183595X
• ISBN 13: 9780521835954
• Binding: Hardcover
• Number of pages: 394
• Editor: Harvey Andrew, Koopman Siem Jan, Shephard Neil