Forecasting, Structural Time Series Models and the Kalman Filter

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Overview

A synthesis of concepts and materials, that ordinarily appear separately in time series and econometrics literature, presents a comprehensive review of theoretical and applied concepts in modeling economic and social time series.
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Editorial Reviews

From the Publisher
"A well-written book by an author who has made numerous important contributions to the literature of forecasting, time series, and Kalman filters. It is a practical book in the sense that it not only discusses the definitions, interpretations, and analyses of structural time series models, but also illustrates the techniques." Choice

"It is difficult to compare this well-written, practical book to other books on time series because it is unique and unconventional in its approach to the subject....It accomplishes the difficult task of making the subject accessible to students and practitioners having relatively modest preparation in mathematics and statistics. I recommend it for acquisition by any undergraduate/graduate sciences or mathematics library, and it would be an excellent choice for a wide variety of classroom uses." John E. Angus, Technometrics

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Product Details

  • ISBN-13: 9780521405737
  • Publisher: Cambridge University Press
  • Publication date: 5/28/2003
  • Edition description: Reprint
  • Pages: 572
  • Product dimensions: 5.98 (w) x 8.98 (h) x 1.26 (d)

Table of 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.

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