forecasting,structure time series models and kalman filter

Product Details  

• Paperback: 572 pages
• Publisher: Cambridge University Press (January 12, 2008)
• Language: English
• ISBN-10: 0521405734
• ISBN-13: 978-0521405737

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Editorial Reviews        Review
"A well-writtenbook by an author who has made numerous important contributions to theliterature of forecasting, time series, and Kalman filters. It is apractical book in the sense that it not only discusses the definitions,interpretations, and analyses of structural time series models, butalso illustrates the techniques." Choice

"Itis difficult to compare this well-written, practical book to otherbooks on time series because it is unique and unconventional in itsapproach to the subject....It accomplishes the difficult task of makingthe subject accessible to students and practitioners having relativelymodest preparation in mathematics and statistics. I recommend it foracquisition by any undergraduate/graduate sciences or mathematicslibrary, and it would be an excellent choice for a wide variety ofclassroom uses." John E. Angus, Technometrics

      Product Description
This book provides asynthesis of concepts and materials that ordinarily appear separatelyin time series and econometrics literature, presenting a comprehensivereview of both theoretical and applied concepts. Perhaps the most novelfeature of the book is its use of Kalman filtering together witheconometric and time series methodology. From a technical point ofview, state space models and the Kalman filter play a key role in thestatistical treatment of structural time series models. This techniquewas originally developed in control engineering but is becomingincreasingly important in economics and operations research. The bookis primarily concerned with modeling economic and social time seriesand with addressing the special problems that the treatment of suchseries pose.