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Book 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.

Book details

Book category Knihy po anglicky Economics, finance, business & management Economics Econometrics

• Full title: State Space and Unobserved Component Models
• Subtitle: Theory and Applications
• Author: Andrew HarveySiem Jan KoopmanNeil Shephard
• Language: English
• Binding: Paperback
• Number of pages: 398
• EAN: 9781107407435
• ISBN: 1107407435
• ID: 02051657
• Publisher: Cambridge University Press
• Weight: 630 g
• Dimensions: 241 × 170 × 25 mm
• Date of publishing: 13. September 2012

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