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State Space and Unobserved Component Models: Theory and Applications Reprint Edition
Author(s): Andrew Harvey
- Publisher: Cambridge University Press
- Publication Date: 13 Sept. 2012
- Edition: Reprint
- Language: English
- Print length: 396 pages
- ISBN-10: 1107407435
- ISBN-13: 9781107407435
Book Description
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.
Editorial Reviews
Review
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
Book Description
A comprehensive overview of developments in the theory and application of state space modeling, first published in 2004.
