Forecasting, Structural Time Series Models and the Kalman Filter

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

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.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

Book Description:

'… if you're looking for a state of the art monograph on applied aspects of state-space representations, and Kalman filtering … then Harvey's book is required reading.' Econometric Theory

Book Description:

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.

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

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1.

Harvey, Andrew C.
Editore: CAMBRIDGE UNIVERSITY PRESS, United Kingdom (1991)
ISBN 10: 0521405734 ISBN 13: 9780521405737
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Descrizione libro CAMBRIDGE UNIVERSITY PRESS, United Kingdom, 1991. Paperback. Condizione libro: New. Revised ed.. 222 x 152 mm. Language: English . Brand New Book. 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 AAZ9780521405737

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2.

Harvey, Andrew C.
Editore: Cambridge University Press 1991-02-28, Cambridge (1991)
ISBN 10: 0521405734 ISBN 13: 9780521405737
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Descrizione libro Cambridge University Press 1991-02-28, Cambridge, 1991. paperback. Condizione libro: New. Codice libro della libreria 9780521405737

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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, United Kingdom (1991)
ISBN 10: 0521405734 ISBN 13: 9780521405737
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Descrizione libro CAMBRIDGE UNIVERSITY PRESS, United Kingdom, 1991. Paperback. Condizione libro: New. Revised ed.. 222 x 152 mm. Language: English . Brand New Book. 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 AAZ9780521405737

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Harvey, Andrew C.
ISBN 10: 0521405734 ISBN 13: 9780521405737
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Descrizione libro Condizione libro: New. Bookseller Inventory # ST0521405734. Codice libro della libreria ST0521405734

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Harvey, Andrew C.
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Descrizione libro Cambridge University Press. Paperback. Condizione libro: new. BRAND NEW, Forecasting, Structural Time Series Models and the Kalman Filter, Andrew C. Harvey, 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 B9780521405737

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Harvey, Andrew C.
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. Shipped from UK in 4 to 14 days. Established seller since 2000. Codice libro della libreria GB-9780521405737

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Harvey, Andrew C.
Editore: Cambridge University Press (1991)
ISBN 10: 0521405734 ISBN 13: 9780521405737
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Descrizione libro Cambridge University Press, 1991. Condizione libro: New. book. Codice libro della libreria ria9780521405737_rkm

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Harvey, Andrew C.
Editore: Cambridge University Press (1991)
ISBN 10: 0521405734 ISBN 13: 9780521405737
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Descrizione libro Cambridge University Press, 1991. Condizione libro: New. 1991. Paperback. This book is concerned with modelling economic and social time series and with addressing the special problems which the treatment of such series pose. Num Pages: 572 pages, 45 line diagrams, indexes, appendixes. BIC Classification: KCH; PBT. Category: (P) Professional & Vocational. Dimension: 228 x 155 x 35. Weight in Grams: 870. 572 pages, 45 line diagrams, indexes, appendixes. This book is concerned with modelling economic and social time series and with addressing the special problems which the treatment of such series pose. Cateogry: (P) Professional & Vocational. BIC Classification: KCH; PBT. Dimension: 228 x 155 x 35. Weight: 890. . . . . . . Codice libro della libreria V9780521405737

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Harvey, Andrew C.
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. 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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