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Forecasting, structural time series models, and the Kalman filter

Author: A C Harvey
Publisher: Cambridge ; New York : Cambridge University Press, 1989.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

This book is concerned with modelling economic and social time series and with addressing the special problems which the treatment of such series pose.

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: A C Harvey
ISBN: 0521405734 9780521405737 0521321964 9780521321969
OCLC Number: 19458552
Description: xvi, 554 pages : illustrations ; 23 cm
Contents: List of figures; Acknowledgement; Preface; Notation and conventions; List of abbreviations; 1. Introduction; 2. Univariate time series models; 3. State space models and the Kalman filter; 4. Estimation, prediction and smoothing for univariate structural time series models; 5. Testing and model selection; 6. Extensions of the univariate model; 7. Explanatory variables; 8. Multivariate models; 9. Continuous time; Appendices; Selected answers to exercises; References; Author index; Subject index.
Responsibility: Andrew Harvey.
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'... 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

 
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