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Forecasting, Structural Time Series Models and the Kalman Filter by Andrew C. Harvey, (1991) Publisher: Cambridge University Press ISBN: 0-521-40573-4 Pages: 570 pages Price: £33.00+ p&p |
Contents Table of Contents Book Order Form |
| Table of Contents Preface 1. Introduction 2. Univariate Time Series Models 3. State Space Models and the Kalman Filter 4. Estimation, Prediction and Smoothing for Univariate Structural Time Series Models 5. Testing and Model Selection 6. Extensions of the Univariate Model 7. Explanatory Variables 8. Multivariate Models 9. Continuous Time Appendices Selected answers to exercises References |
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