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State space and unobserved component models : theory and applications : proceedings of a conference in honour of James Durbin / edited by Andrew C. Harvey, Siem Jan Koopman, Neil Shephard.

Contributor(s): Material type: TextTextPublisher: Cambridge : Cambridge University Press, 2004Description: 1 online resource (xiv, 380 pages) : digital, PDF file(s)Content type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 9780511617010 (ebook)
Other title:
  • State Space & Unobserved Component Models
Subject(s): Additional physical formats: Print version: : No titleDDC classification:
  • 003 22
LOC classification:
  • QA402 .S835 2004
Online resources: Summary: 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.
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Title from publisher's bibliographic system (viewed on 05 Oct 2015).

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.

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