Description: Forecasting, Structural Time Series Models and the Kalman Filter by Andrew C. Harvey 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. FORMAT Hardcover LANGUAGE English CONDITION Brand New Publisher Description In this book, Andrew Harvey sets out to provide a unified and comprehensive theory of structural time series models. Unlike the traditional ARIMA models, structural time series models consist explicitly of unobserved components, such as trends and seasonals, which have a direct interpretation. As a result the model selection methodology associated with structural models is much closer to econometric methodology. The link with econometrics is made even closer by the natural way in which the models can be extended to include explanatory variables and to cope with multivariate time series. From the technical point of view, state space models and the Kalman filter play a key role in the statistical treatment of structural time series models. The book includes a detailed treatment of the Kalman filter. This technique was originally developed in control engineering, but is becoming increasingly important in fields such as economics and operations research. This book is concerned primarily with modelling economic and social time series, and with addressing the special problems which the treatment of such series poses. The properties of the models and the methodological techniques used to select them are illustrated with various applications. These range from the modellling of trends and cycles in US macroeconomic time series to to an evaluation of the effects of seat belt legislation in the UK. Table of Contents 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. Review … if youre looking for a state of the art monograph on applied aspects of state-space representations, and Kalman filtering … then Harveys book is required reading. Econometric Theory Promotional 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 Quote ... if youre looking for a state of the art monograph on applied aspects of state-space representations, and Kalman filtering ... then Harveys book is required reading. Econometric Theory Promotional "Headline" This book is concerned with modelling economic and social time series and with addressing the special problems which the treatment of such series pose. Description for Bookstore 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. Description for Library 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. Details ISBN0521321964 Author Andrew C. Harvey Short Title FORECASTING STRUCTURAL TIME SE Pages 572 Publisher Cambridge University Press Language English ISBN-10 0521321964 ISBN-13 9780521321969 Media Book Format Hardcover DEWEY 519.55 Imprint Cambridge University Press Place of Publication Cambridge Country of Publication United Kingdom Illustrations 45 line diagrams Edition 1st Affiliation London School of Economics and Political Science DOI 10.1604/9780521321969 UK Release Date 1990-02-22 AU Release Date 1990-02-22 NZ Release Date 1990-02-22 Year 1990 Publication Date 1990-02-22 Alternative 9780521405737 Audience Professional & Vocational We've got this At The Nile, if you're looking for it, we've got it. With fast shipping, low prices, friendly service and well over a million items - you're bound to find what you want, at a price you'll love! TheNile_Item_ID:91380956;
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ISBN-13: 9780521321969
Book Title: Forecasting, Structural Time Series Models and the Kalman Filter
Number of Pages: 572 Pages
Publication Name: Forecasting, Structural Time Series Models and the Kalman Filter
Language: English
Publisher: Cambridge University Press
Item Height: 229 mm
Subject: Economics, Mathematics
Publication Year: 1990
Type: Textbook
Item Weight: 1010 g
Author: Andrew C. Harvey
Item Width: 152 mm
Format: Hardcover
