State Space And Unobserved Component Models
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State Space And Unobserved Component Models
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Author : Andrew Harvey
language : en
Publisher: Cambridge University Press
Release Date : 2012-09-13
State Space And Unobserved Component Models written by Andrew Harvey and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-09-13 with Business & Economics categories.
Offering a broad overview of the state-of-the-art developments in the theory and applications of state space modeling, fourteen chapters from twenty-three contributors present a unique synthesis of state space methods and unobserved component models important in a wide range of subjects. They include economics, finance, environmental science, medicine and engineering. A useful reference for all researchers and students who use state space methodology, this accessible volume makes a significant contribution to the advancement of the discipline.
Time Series Modelling With Unobserved Components
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Author : Matteo M. Pelagatti
language : en
Publisher: CRC Press
Release Date : 2015-07-28
Time Series Modelling With Unobserved Components written by Matteo M. Pelagatti and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-07-28 with Mathematics categories.
Despite the unobserved components model (UCM) having many advantages over more popular forecasting techniques based on regression analysis, exponential smoothing, and ARIMA, the UCM is not well known among practitioners outside the academic community. Time Series Modelling with Unobserved Components rectifies this deficiency by giving a practical o
An Introduction To State Space Time Series Analysis
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Author : Jacques J. F. Commandeur
language : en
Publisher: OUP Oxford
Release Date : 2007-07-19
An Introduction To State Space Time Series Analysis written by Jacques J. F. Commandeur and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-07-19 with Business & Economics categories.
Providing a practical introduction to state space methods as applied to unobserved components time series models, also known as structural time series models, this book introduces time series analysis using state space methodology to readers who are neither familiar with time series analysis, nor with state space methods. The only background required in order to understand the material presented in the book is a basic knowledge of classical linear regression models, of which a brief review is provided to refresh the reader's knowledge. Also, a few sections assume familiarity with matrix algebra, however, these sections may be skipped without losing the flow of the exposition. The book offers a step by step approach to the analysis of the salient features in time series such as the trend, seasonal, and irregular components. Practical problems such as forecasting and missing values are treated in some detail. This useful book will appeal to practitioners and researchers who use time series on a daily basis in areas such as the social sciences, quantitative history, biology and medicine. It also serves as an accompanying textbook for a basic time series course in econometrics and statistics, typically at an advanced undergraduate level or graduate level.
State Space And Unobserved Component Models
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Author : Andrew Harvey
language : en
Publisher:
Release Date : 2004
State Space And Unobserved Component Models written by Andrew Harvey and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
Macroeconometrics And Time Series Analysis
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Author : Steven Durlauf
language : en
Publisher: Springer
Release Date : 2016-04-30
Macroeconometrics And Time Series Analysis written by Steven Durlauf and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-30 with Business & Economics categories.
Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.
State Space And Unobserved Component Models
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Author : James Durbin
language : en
Publisher: Cambridge University Press
Release Date : 2004-06-10
State Space And Unobserved Component Models written by James Durbin and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-06-10 with Business & Economics categories.
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.
Statistical Modeling And Computation
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Author : Joshua C. C. Chan
language : en
Publisher: Springer Nature
Release Date : 2025-01-21
Statistical Modeling And Computation written by Joshua C. C. Chan and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-01-21 with Computers categories.
This book, Statistical Modeling and Computation, provides a unique introduction to modern statistics from both classical and Bayesian perspectives. It also offers an integrated treatment of mathematical statistics and modern statistical computation, emphasizing statistical modeling, computational techniques, and applications. The 2nd edition changes the programming language used in the text from MATLAB to Julia. For all examples with computing components, the authors provide data sets and their own Julia codes. The new edition features numerous full color graphics to illustrate the concepts discussed in the text, and adds three entirely new chapters on a variety of popular topics, including: Regularization and the Lasso regression Bayesian shrinkage methods Nonparametric statistical tests Splines and the Gaussian process regression Joshua C. C. Chan is Professor of Economics, and holds the endowed Olson Chair at Purdue University. He is an elected fellow at the International Association for Applied Econometrics and served as Chair for the Economics, Finance and Business Section of the International Society for Bayesian Analysis from 2020-2022. His research focuses on building new high-dimensional time-series models and developing efficient estimation methods for these models. He has published over 50 papers in peer-reviewed journals, including some top-field journals such as Journal of Econometrics, Journal of the American Statistical Association and Journal of Business and Economic Statistics. Dirk Kroese is Professor of Mathematics and Statistics at the University of Queensland. He is known for his significant contributions to the fields of applied probability, mathematical statistics, machine learning, and Monte Carlo methods. He has published over 140 articles and 7 books. He is a pioneer of the well-known Cross-Entropy (CE) method, which is being used around the world to help solve difficult estimation and optimization problems in science, engineering, and finance. In addition to his scholarly contributions, Dirk Kroese is recognized for his role as an educator and mentor, having supervised and inspired numerous students and researchers.
State Space And Unobserved Component Models
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Author : Andrew C. Harvey
language : en
Publisher:
Release Date : 2004
State Space And Unobserved Component Models written by Andrew C. Harvey and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with State-space methods categories.
Forecasting Structural Time Series Models And The Kalman Filter
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Author : Andrew C. Harvey
language : en
Publisher: Cambridge University Press
Release Date : 1990
Forecasting Structural Time Series Models And The Kalman Filter written by Andrew C. Harvey and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Business & Economics categories.
A synthesis of concepts and materials, that ordinarily appear separately in time series and econometrics literature, presents a comprehensive review of theoretical and applied concepts in modeling economic and social time series.
Bayesian Econometric Methods
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Author : Joshua Chan
language : en
Publisher: Cambridge University Press
Release Date : 2019-08-15
Bayesian Econometric Methods written by Joshua Chan and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-08-15 with Business & Economics categories.
Illustrates Bayesian theory and application through a series of exercises in question and answer format.