Cambridge University Press
Forecasting, Structural Time Series Models & the Kalman Filter (English, Andrew C. Harvey)
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Book Details
| ISBN-13 | 9780521321969 |
| ISBN-10 | 0521321964 |
Product Description
About the Book
This book provides a synthesis of concepts and materials that ordinarily appear separately in time series and econometrics literature, presenting a comprehensive review of both theoretical and applied concepts. Perhaps the most novel feature of the book is its use of Kalman filtering together with econometric and time series methodology. From a technical point of view, state space models and the Kalman filter play a key role in the statistical tr…
ISBN: 9780521321969
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