Forecasting, Structural Time Series Models and the Kalman Filter
Paperback
Lieferzeit: Print on Demand - Lieferbar innerhalb von 3-5 Werktagen I
ISBN-13:
9780521405737
Veröffentl:
2003
Einband:
Paperback
Erscheinungsdatum:
15.05.2003
Seiten:
572
Autor:
A. C. Harvey
Gewicht:
917 g
Format:
229x152x34 mm
Sprache:
Englisch
Beschreibung:
This book is concerned with modelling economic and social time series and with addressing the special problems which the treatment of such series pose.
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.
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.