STATE SPACE AND UNOBSERVED COMPONENT MODELS: THEORY AND APPLICATIONS

ANDREW HARVEY,SIEM JAN KOOPMAN, ET AL.

ISBN 10: 052183595X / ISBN 13: 9780521835954

Edité par Cambridge University Press, 2004

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Détails bibliographiques

Titre : STATE SPACE AND UNOBSERVED COMPONENT MODELS:...

Éditeur : Cambridge University Press

Date d'édition : 2004

Reliure : Couverture rigide

Etat : Brand New

A propos de ce titre

Synopsis :

A comprehensive overview of developments in the theory and application of state space modeling, first published in 2004.

À propos de l?auteur:

Andrew Harvey is Professor of Econometrics and Fellow of Corpus Christi College, University of Cambridge. He is the author of the Econometric Analysis of Time Series (1981), Time Series Models (1981) and Forecasting: Structural Time Series Models and the Kalman Filter (1989). Siem Jan Koopman is Professor of Econometrics at the Free University Amsterdam and Research Fellow of Tinbergen Institute, Amsterdam. He has published in international journals and is co-author of Time Series Analysis by State Space Models (with J. Durbin, 2001). Neil Shephard is Professor of Economics and Official Fellow, Nuffield College, Oxford University. He is the Editor of Econometrics Journal.