State Space and Unobserved Component Models

ISBN 10: 052183595X / ISBN 13: 9780521835954

Edité par Cambridge University Press, 2004

pp. xiv + 380 71 Figures, Illus. N° de réf. du vendeur 7690598

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.

Détails bibliographiques

Titre : State Space and Unobserved Component Models
Éditeur : Cambridge University Press
Date d'édition : 2004
Reliure : Couverture rigide
Etat : New