State space and unobserved component models
Theory and applications
Andrew Harvey, S.J. Koopman, Neil Shepard
Résumé
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.
Sommaire
- State space models
- Testing
- Bayesian inference and bootstrap
- Applications
Caractéristiques techniques
| PAPIER | |
| Éditeur(s) | Cambridge University Press |
| Auteur(s) | Andrew Harvey, S.J. Koopman, Neil Shepard |
| Parution | 15/06/2004 |
| Nb. de pages | 380 |
| Format | 18 x 25 |
| Couverture | Relié |
| Poids | 931g |
| Intérieur | Noir et Blanc |
| EAN13 | 9780521835954 |
| ISBN13 | 978-0-521-83595-4 |
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