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State Space and Unobserved Component Models: Theory and Applications

Hardback

Main Details

Title State Space and Unobserved Component Models: Theory and Applications
Authors and Contributors      Edited by Andrew Harvey
Edited by Siem Jan Koopman
Edited by Neil Shephard
Physical Properties
Format:Hardback
Pages:394
Dimensions(mm): Height 254,Width 179
ISBN/Barcode 9780521835954
ClassificationsDewey:330.015195
Audience
Professional & Vocational

Publishing Details

Publisher Cambridge University Press
Imprint Cambridge University Press
Publication Date 10 June 2004
Publication Country United Kingdom

Description

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.

Author Biography

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.

Reviews

'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