skip to content
State space and unobserved component models : theory and applications Preview this item
ClosePreview this item
Checking...

State space and unobserved component models : theory and applications

Author: A C Harvey; S J Koopman; Neil Shephard
Publisher: Cambridge ; New York : Cambridge University Press, 2004.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

A comprehensive overview of developments in the theory and application of state space modeling, first published in 2004.

Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

Find a copy online

Links to this item

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: A C Harvey; S J Koopman; Neil Shephard
ISBN: 052183595X 9780521835954
OCLC Number: 53392246
Description: xiv, 380 pages : illustrations ; 26 cm
Contents: Introduction to state space time series analysis / James Durbin --
State structure, decision making and related issues / Peter Whittle --
An introduction to particle filters / Simon Maskell --
Frequence domain and wavelet-based estimation for long-memory signal plus noise models / Katsuto Tanaka --
A goodness-of-fit test for AR (1) models and power against state-space alternatives / T.W. Anderson and Michael A. Stephens --
Test for cycles / Andrew C. Harvey --
Efficient Bayesian parameter estimation / Sylvia Frühwirth-Schnatter --
Empirical Bayesian inference in a nonparametric regression model / Gary Koop and Dale Poirier --
Resampling in state space models / David S. Stoffer and Kent D. Wall --
Measuring and forecasting financial variability using realised variance / Ole E. Barndorff-Nielsen [and others] --
Practical filtering for stochastic volatility models / Jonathan R. Stroud, Nicholas G. Polson and Peter Müller --
On RegComponent time series models and their applications / William R. Bell --
State space modeling in macroeconomics and finance using SsfPack in S+Finmetrics / Eric Zivot, Jeffrey Wang and Siem Jan Koopman --
Finding genes in the human genome with hidden Markov models / Richard Durbin.
Responsibility: edited by Andrew Harvey, Siem Jan Koopman, Neil Shephard.
More information:

Reviews

Editorial reviews

Publisher Synopsis

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

 
User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.
Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


Primary Entity

<http://www.worldcat.org/oclc/53392246> # State space and unobserved component models : theory and applications
    a schema:CreativeWork, schema:Book ;
   library:oclcnum "53392246" ;
   library:placeOfPublication <http://dbpedia.org/resource/New_York_City> ; # New York
   library:placeOfPublication <http://experiment.worldcat.org/entity/work/data/354587129#Place/cambridge> ; # Cambridge
   library:placeOfPublication <http://id.loc.gov/vocabulary/countries/enk> ;
   schema:about <http://experiment.worldcat.org/entity/work/data/354587129#Topic/wahrscheinlichkeitsrechnung> ; # Wahrscheinlichkeitsrechnung
   schema:about <http://experiment.worldcat.org/entity/work/data/354587129#Topic/tijdreeksen> ; # Tijdreeksen
   schema:about <http://experiment.worldcat.org/entity/work/data/354587129#Topic/zeitreihenanalyse> ; # Zeitreihenanalyse
   schema:about <http://id.worldcat.org/fast/1151190> ; # Time-series analysis
   schema:about <http://experiment.worldcat.org/entity/work/data/354587129#Topic/toestandsruimtemethode> ; # Toestandsruimtemethode
   schema:about <http://id.worldcat.org/fast/1131964> ; # State-space methods
   schema:about <http://experiment.worldcat.org/entity/work/data/354587129#Topic/systeemanalyse> ; # Systeemanalyse
   schema:about <http://dewey.info/class/519.55/e21/> ;
   schema:about <http://experiment.worldcat.org/entity/work/data/354587129#Topic/statistik> ; # Statistik
   schema:bookFormat bgn:PrintBook ;
   schema:contributor <http://viaf.org/viaf/54370696> ; # Siem Jan Koopman
   schema:contributor <http://viaf.org/viaf/49286008> ; # Andrew C. Harvey
   schema:contributor <http://viaf.org/viaf/73784991> ; # Neil Shephard
   schema:datePublished "2004" ;
   schema:description "Introduction to state space time series analysis / James Durbin -- State structure, decision making and related issues / Peter Whittle -- An introduction to particle filters / Simon Maskell -- Frequence domain and wavelet-based estimation for long-memory signal plus noise models / Katsuto Tanaka -- A goodness-of-fit test for AR (1) models and power against state-space alternatives / T.W. Anderson and Michael A. Stephens -- Test for cycles / Andrew C. Harvey -- Efficient Bayesian parameter estimation / Sylvia Frühwirth-Schnatter -- Empirical Bayesian inference in a nonparametric regression model / Gary Koop and Dale Poirier -- Resampling in state space models / David S. Stoffer and Kent D. Wall -- Measuring and forecasting financial variability using realised variance / Ole E. Barndorff-Nielsen [and others] -- Practical filtering for stochastic volatility models / Jonathan R. Stroud, Nicholas G. Polson and Peter Müller -- On RegComponent time series models and their applications / William R. Bell -- State space modeling in macroeconomics and finance using SsfPack in S+Finmetrics / Eric Zivot, Jeffrey Wang and Siem Jan Koopman -- Finding genes in the human genome with hidden Markov models / Richard Durbin."@en ;
   schema:exampleOfWork <http://worldcat.org/entity/work/id/354587129> ;
   schema:inLanguage "en" ;
   schema:name "State space and unobserved component models : theory and applications"@en ;
   schema:productID "53392246" ;
   schema:publication <http://www.worldcat.org/title/-/oclc/53392246#PublicationEvent/cambridge_new_york_cambridge_university_press_2004> ;
   schema:publisher <http://experiment.worldcat.org/entity/work/data/354587129#Agent/cambridge_university_press> ; # Cambridge University Press
   schema:url <http://bvbr.bib-bvb.de:8991/F?func=service&doc%5Flibrary=BVB01&doc%5Fnumber=012876113&line%5Fnumber=0001&func%5Fcode=DB%5FRECORDS&service%5Ftype=MEDIA> ;
   schema:url <http://catdir.loc.gov/catdir/toc/cam041/2003063508.html> ;
   schema:workExample <http://worldcat.org/isbn/9780521835954> ;
   umbel:isLike <http://bnb.data.bl.uk/id/resource/GBA3T7441> ;
   wdrs:describedby <http://www.worldcat.org/title/-/oclc/53392246> ;
    .


Related Entities

<http://dbpedia.org/resource/New_York_City> # New York
    a schema:Place ;
   schema:name "New York" ;
    .

<http://experiment.worldcat.org/entity/work/data/354587129#Agent/cambridge_university_press> # Cambridge University Press
    a bgn:Agent ;
   schema:name "Cambridge University Press" ;
    .

<http://experiment.worldcat.org/entity/work/data/354587129#Topic/toestandsruimtemethode> # Toestandsruimtemethode
    a schema:Intangible ;
   schema:name "Toestandsruimtemethode"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/354587129#Topic/wahrscheinlichkeitsrechnung> # Wahrscheinlichkeitsrechnung
    a schema:Intangible ;
   schema:name "Wahrscheinlichkeitsrechnung"@en ;
    .

<http://id.worldcat.org/fast/1131964> # State-space methods
    a schema:Intangible ;
   schema:name "State-space methods"@en ;
    .

<http://id.worldcat.org/fast/1151190> # Time-series analysis
    a schema:Intangible ;
   schema:name "Time-series analysis"@en ;
    .

<http://viaf.org/viaf/49286008> # Andrew C. Harvey
    a schema:Person ;
   schema:familyName "Harvey" ;
   schema:givenName "Andrew C." ;
   schema:givenName "A. C." ;
   schema:name "Andrew C. Harvey" ;
    .

<http://viaf.org/viaf/54370696> # Siem Jan Koopman
    a schema:Person ;
   schema:familyName "Koopman" ;
   schema:givenName "Siem Jan" ;
   schema:givenName "S. J." ;
   schema:name "Siem Jan Koopman" ;
    .

<http://viaf.org/viaf/73784991> # Neil Shephard
    a schema:Person ;
   schema:familyName "Shephard" ;
   schema:givenName "Neil" ;
   schema:name "Neil Shephard" ;
    .

<http://worldcat.org/isbn/9780521835954>
    a schema:ProductModel ;
   schema:isbn "052183595X" ;
   schema:isbn "9780521835954" ;
    .


Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.