Forecasting, Structural Time Series Mode

Klappentext This book is concerned with modelling economic and social time series and with addressing the special problems which the treatment of such series pose. Zusammenfassung This book is concerned with modelling economic and social time series and with addressing the special problems which the treatment of such series pose. It is unique in its use of Kalman filtering with econometric and time series modelling. Inhaltsverzeichnis 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.

Product details

• Authors: Andrew C. Harvey, Harvey Andrew C.
• Publisher: External catalogues UK
• Languages: English
• Product format: Hardback
• Released: 16.06.2009
• EAN: 9780521321969
• ISBN: 978-0-521-32196-9
• Subjects: Natural sciences, medicine, IT, technology > Mathematics > Probability theory, stochastic theory, mathematical statistics; BUSINESS & ECONOMICS / Econometrics, Econometrics, Probability and statistics, Econometrics and economic statistics