Forecasting, Structural Time Series Models and the Kalman Filter
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…
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Produktdetails
- ISBN: 978-1-107-71046-7
- EAN: 9781107710467
- Produktnummer: 16941821
- Verlag: Cambridge University Press
- Sprache: Englisch
- Erscheinungsjahr: 1990
- Seitenangabe: 0 S.
- Plattform: PDF
- Masse: 45'617 KB
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