State Space and Unobserved Component Models: Theory and Applications

Andrew Harvey

ISBN 10: 1107407435 / ISBN 13: 9781107407435

Editore: Cambridge University Press 2012-09-13, 2012

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Codice articolo 6666-IUK-9781107407435

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Titolo: State Space and Unobserved Component Models:...

Casa editrice: Cambridge University Press 2012-09-13

Data di pubblicazione: 2012

Legatura: Paperback

Condizione: New

Descrizione articolo

Riassunto:

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.

Recensione:

Review of the hardback: 'There is much in this book, and I would heartily recommend it to specialists and librarians. I know of no other comparable text.' Journal of the Royal Statistical Society