Forecasting, Structural Time Series Models and the Kalman Filter by Andrew C Harvey

Forecasting, Structural Time Series Models and the Kalman Filter by 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.

'… 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

Harvey, Andrew C.: - Andrew Harvey is Professor of Econometrics at the University of Cambridge and a Fellow of Corpus Christi College. He is a Fellow of the Econometric Society and of the British Academy. He has published more than one hundred articles in journals and edited volumes and is the author of three books, The Econometric Analysis of Time Series, Time Series Models, and Forecasting and Structural Time Series Models and the Kalman Filter (Cambridge University Press, 1989). He is one of the developers of the STAMP computer package.

SKU	Unavailable
ISBN 13	9780521405737
ISBN 10	0521405734
Title	Forecasting, Structural Time Series Models and the Kalman Filter
Author	Andrew C Harvey
Condition	Unavailable
Binding Type	Paperback
Publisher	Cambridge University Press
Year published	1991-02-28
Number of pages	572
Cover note	Book picture is for illustrative purposes only, actual binding, cover or edition may vary.