State Space and Unobserved Component Models
STATE SPACE AND UNOBSERVED
COMPONENT MODELS
Theory and Applications
This volume offers a broad overview of the state-of-the-art developments in
the theory and applications of state space modelling. With fourteen chap-
ters 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 bookis divided into four sections: introduc-
tory 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 advancement of
time series analysis.
Andrew Harvey is Professor of Econometrics and Fellow of Corpus
Christi College, University of Cambridge. He is the author of The Economet-
ric Analysis of Time Series (1981), Time Series Models (1981) and Fore-
casting, Structural Time Series Models and the Kalman Filter (1989).
Siem Jan Koopman is Professor of Econometrics at the Free University
Amsterdam and Research Fellow of Tinbergen Institute, Amsterdam. He has
published in international journals and is coauthor of Time Series Anaysis
by State Space Models (with J. Durbin, 2001).
Neil Shephard is Professor of Economics and Official Fellow, Nuffield
College, Oxford University.
STATE SPACE AND UNOBSERVED
COMPONENT MODELS
Theory and Applications
Edited by
Andrew Harvey
Faculty of Economics and Politics, University of Cambridge
Siem Jan Koopman
Department of Econometrics and Operations Research,
Free University Amsterdam
Neil Shephard
Nuffield College, University of Oxford