State Space and Unobserved Component Models

Shephard Neil Harvey Andrew Koopman Siem Jan

ISBN 10: 1107407435 / ISBN 13: 9781107407435

Edité par Cambridge University Press, 2012

A propos de cet article

PRINT ON DEMAND pp. 398.

N° de réf. du vendeur 1842169348

Détails bibliographiques

• Titre: State Space and Unobserved Component Models
• Éditeur: Cambridge University Press
• Date de parution: 2012
• Langue: anglais
• ISBN à 10 chiffres: 1107407435
• ISBN à 13 chiffres: 9781107407435
• Reliure: Couverture souple
• État de l'article: 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.

Présentation de l'éditeur

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.