Forecasting, Structural Time Series Models and the Kalman Filter

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9780521405737: Forecasting, Structural Time Series Models and the Kalman Filter

This book provides a synthesis of concepts and materials that ordinarily appear separately in time series and econometrics literature, presenting a comprehensive review of both theoretical and applied concepts. Perhaps the most novel feature of the book is its use of Kalman filtering together with econometric and time series methodology. From a technical point of view, state space models and the Kalman filter play a key role in the statistical treatment of structural time series models. This technique was originally developed in control engineering but is becoming increasingly important in economics and operations research. The book is primarily concerned with modeling economic and social time series and with addressing the special problems that the treatment of such series pose.

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Book Description:

A synthesis of concepts and materials, that ordinarily appear separately in time series and econometrics literature, presents a comprehensive review of theoretical and applied concepts in modeling economic and social time series.

Review:

"A well-written book by an author who has made numerous important contributions to the literature of forecasting, time series, and Kalman filters. It is a practical book in the sense that it not only discusses the definitions, interpretations, and analyses of structural time series models, but also illustrates the techniques." Choice

"It is difficult to compare this well-written, practical book to other books on time series because it is unique and unconventional in its approach to the subject....It accomplishes the difficult task of making the subject accessible to students and practitioners having relatively modest preparation in mathematics and statistics. I recommend it for acquisition by any undergraduate/graduate sciences or mathematics library, and it would be an excellent choice for a wide variety of classroom uses." John E. Angus, Technometrics

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Harvey, Andrew C.
Editore: Cambridge University Press 2003-05 (2003)
ISBN 10: 0521405734 ISBN 13: 9780521405737
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Descrizione libro Cambridge University Press 2003-05, 2003. Condizione libro: New. This item is printed on demand. Brand new book, sourced directly from publisher. Dispatch time is 24-48 hours from our warehouse. Book will be sent in robust, secure packaging to ensure it reaches you securely. Codice libro della libreria NU-LSI-06886927

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Harvey, Andrew C.
Editore: Cambridge University Press (1991)
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Descrizione libro Cambridge University Press, 1991. PAP. Condizione libro: New. New Book. Shipped from US within 10 to 14 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Codice libro della libreria IQ-9780521405737

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Andrew C. Harvey
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Descrizione libro CAMBRIDGE UNIVERSITY PRESS, United Kingdom, 2003. Paperback. Condizione libro: New. Revised ed.. Language: English . Brand New Book ***** Print on Demand *****.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. Codice libro della libreria AAV9780521405737

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Andrew C. Harvey
Editore: CAMBRIDGE UNIVERSITY PRESS, United Kingdom (2003)
ISBN 10: 0521405734 ISBN 13: 9780521405737
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Descrizione libro CAMBRIDGE UNIVERSITY PRESS, United Kingdom, 2003. Paperback. Condizione libro: New. Revised ed.. Language: English . Brand New Book ***** Print on Demand *****. 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. Codice libro della libreria AAV9780521405737

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Harvey, Andrew C. (London School of Economics and Political Science)
Editore: Cambridge University Press (1991)
ISBN 10: 0521405734 ISBN 13: 9780521405737
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Descrizione libro Cambridge University Press, 1991. PAP. Condizione libro: New. New Book. Delivered from our UK warehouse in 3 to 5 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Codice libro della libreria IQ-9780521405737

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Harvey, Andrew C.
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Descrizione libro Cambridge University Press, 2016. Paperback. Condizione libro: New. PRINT ON DEMAND Book; New; Publication Year 2016; Not Signed; Fast Shipping from the UK. No. book. Codice libro della libreria ria9780521405737_lsuk

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Harvey, Andrew C.
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Descrizione libro Cambridge University Press, 2017. Paperback. Condizione libro: New. Never used! This item is printed on demand. Codice libro della libreria 0521405734

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Harvey, Andrew C.
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Descrizione libro Cambridge University Press. PAPERBACK. Condizione libro: New. 0521405734 New Condition. Codice libro della libreria NEW7.0206234

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ANDREW C. HARVEY
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Descrizione libro 1991. Paperback. Condizione libro: NEW. 9780521405737 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. Codice libro della libreria HTANDREE0456231

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Harvey, Andrew C.
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Descrizione libro Cambridge University Press, 1991. Paperback. Condizione libro: New. Codice libro della libreria INGM9780521405737

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