Forecasting, Structural Time Series Models and the Kalman Filter (Hardcover)

Andrew C. Harvey

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Idioma: inglés

Editorial: Cambridge University Press, Cambridge, 1990

0521321964 / 9780521321969

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Librería: Grand Eagle Retail, Bensenville, IL, Estados Unidos de AmericaGrand Eagle Retail

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Hardcover. 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. 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. This item is printed on demand. Shipping may be from multiple locations in the US or from the UK, depending on stock availability.…

N° de ref. del artículo 9780521321969

Título
Forecasting, Structural Time Series Models and the Kalman Filter (Hardcover)
Autor
Andrew C. Harvey
Editorial
Cambridge University Press, Cambridge
Año de publicación
1990
Estado
new
Encuadernación
Hardcover
Idioma
inglés
ISBN 10
0521321964
ISBN 13
9780521321969
Edición
1ª Edición

Grand Eagle Retail

Bensenville, IL, Estados Unidos de America

Vendedor de 5 estrellas

Vendedor de AbeBooks desde el 12 de octubre de 2005

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