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State Space and Unobserved Component Models: Theory and Applications

State Space and Unobserved Component Models: Theory and Applications

by Andrew Harvey (Editor), Andrew Harvey (Editor), Neil Shephard (Editor), Siem Jan Koopman (Editor)

  • Used

    Illustrated 2004

    $15.63
Synopsis

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.

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More Information

Format: Illustrated
 Pages: 394
 Edition: Illustrated
 Publisher: Cambridge University Press
Published: 10 Jun 2004
ISBN 10: 052183595X
ISBN 13: 9780521835954
Book Overview: A comprehensive overview of developments in the theory and application of state space modeling, first published in 2004.

Media Reviews
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
Author Bio
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.