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State Space and Unobserved Component Models

Theory and Applications

State Space and Unobserved Component Models by Andrew Harvey
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This 2004 volume offers a broad overview of developments in the theory and applications of state space modeling. With fourteen chapters from twenty-three contributors, it offers a unique synthesis of state space methods and unobserved component models that are important in a wide range of subjects, including economics, finance, environmental science, medicine and engineering. The book is divided into four sections: introductory papers, testing, Bayesian inference and the bootstrap, and applications. It will give those unfamiliar with state space models a flavour of the work being carried out as well as providing experts with valuable state of the art summaries of different topics. Offering a useful reference for all, this accessible volume makes a significant contribution to the literature of this discipline.
Cambridge University Press; June 2004
396 pages; ISBN 9780511889431
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Title: State Space and Unobserved Component Models
Author: Andrew Harvey; Siem Jan Koopman; Neil Shephard
 
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