Forecasting, Structural Time Series Models and the Kalman Filter

Harvey, Andrew C.

ISBN 10: 0521405734 / ISBN 13: 9780521405737

Published by Cambridge University Press, 1991

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Bibliographic Details

• Title: Forecasting, Structural Time Series Models and the Kalman Filter
• Publisher: Cambridge University Press
• Publication Date: 1991
• Language: English
• ISBN 10: 0521405734
• ISBN 13: 9780521405737
• Binding: Paperback
• Condition: new

About this title

Synopsis

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

'... if you're looking for a state of the art monograph on applied aspects of state-space representations, and Kalman filtering ... then Harvey's book is required reading.' Econometric Theory