Forecasting, Structural Time Series

Sprache: Englisch

Verlag: Cambridge University Press, United Kingdom, Cambridge, 1991

0521405734 / 9780521405737

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Artikelbeschreibung des Verkäufers

In this book, Andrew Harvey sets out to provide a unified and comprehensive theory of structural time series models. Unlike the traditional ARIMA models, structural time series models consist explicitly of unobserved components, such as trends and seasonals, which have a direct interpretation. As a result the model selection methodology associated with structural models is much closer to econometric methodology. The link with econometrics is made even closer by the natural way in which the models can be extended to include explanatory variables and to cope with multivariate time series. From the technical point of view, state space models and the Kalman filter play a key role in the statistical treatment of structural time series models. The book includes a detailed treatment of the Kalman filter. This technique was originally developed in control engineering, but is becoming increasingly important in fields such as economics and operations research. This book is concerned primarily with modelling economic and social time series, and with addressing the special problems which the treatment of such series poses. The properties of the models and the methodological techniques used to select them are illustrated with various applications. These range from the modellling of trends and cycles in US macroeconomic time series to to an evaluation of the effects of seat belt legislation in the UK. The book has been read, but is in excellent condition. Pages are intact and not marred by notes or highlighting. The spine remains undamaged.…

Bestandsnummer des Verkäufers GOR001871356

Titel
Forecasting, Structural Time Series
Autor
Andrew C. Harvey (London School of Economics and Political Science)
Verlag
Cambridge University Press, United Kingdom, Cambridge
Erscheinungsjahr
1991
Zustand
Very Good
Einband
Paperback
Sprache
Englisch
ISBN-10
0521405734
ISBN-13
9780521405737
Artikelgewicht
948 Gramm
Abmessungen
152.0 x 228.0

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