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State Space and Unobserved Component Models

Theory and Applications

Andrew Harvey editor Siem Jan Koopman editor Neil Shephard editor

Format:Hardback

Publisher:Cambridge University Press

Published:10th Jun '04

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A comprehensive overview of developments in the theory and application of state space modeling, first published in 2004.

This 2004 volume offers a broad overview of developments in the theory and applications of state space modeling. With contributions from renowned experts, it offers a unique synthesis of state space methods and unobserved component models, important in a wide range of subjects, including economics, finance, medicine and engineering.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.

Review of the hardback: 'There is much in this book, and I would heartily recommend it to specialists and librarians. I know of no other comparable text.' Journal of the Royal Statistical Society

ISBN: 9780521835954

Dimensions: 254mm x 179mm x 30mm

Weight: 935g

394 pages