State space and unobserved component models
theory and applications
- ISBN: 9780521835954
- Editorial: Cambridge University Press
- Fecha de la edición: 2004
- Lugar de la edición: Cambridge. None
- Encuadernación: Cartoné
- Medidas: 26 cm
- Nº Pág.: 380
- Idiomas: Inglés
This volume offers a broad overview of the state-of-the-art 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 section: 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 advancement of this discipline.
eds.Andrew Harvey;Siem Jan Koopman;Neil Shephard
