State Space And Unobserved Component Models

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State Space and Unobserved Component Models
Language: en
Pages: 398
Authors: James Durbin
Categories: Business & Economics
Type: BOOK - Published: 2004-06-10 - Publisher: Cambridge University Press

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A comprehensive overview of developments in the theory and application of state space modeling, first published in 2004.
Time Series Modelling with Unobserved Components
Language: en
Pages: 274
Authors: Matteo M. Pelagatti
Categories: Mathematics
Type: BOOK - Published: 2015-07-28 - Publisher: CRC Press

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Despite the unobserved components model (UCM) having many advantages over more popular forecasting techniques based on regression analysis, exponential smoothin
An Introduction to State Space Time Series Analysis
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Pages: 192
Authors: Jacques J. F. Commandeur
Categories: Business & Economics
Type: BOOK - Published: 2007-07-19 - Publisher: OUP Oxford

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Providing a practical introduction to state space methods as applied to unobserved components time series models, also known as structural time series models, t
Readings in Unobserved Components Models
Language: en
Pages: 472
Authors: Andrew Harvey
Categories: Business & Economics
Type: BOOK - Published: 2005-04-07 - Publisher: OUP Oxford

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This volume presents a collection of readings which give the reader an idea of the nature and scope of unobserved components (UC) models and the methods used to
Macroeconometrics and Time Series Analysis
Language: en
Pages: 417
Authors: Steven Durlauf
Categories: Business & Economics
Type: BOOK - Published: 2016-04-30 - Publisher: Springer

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Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the disci