The Resource Readings in unobserved components models, edited by Andrew C. Harvey and Tommaso Proietti

Readings in unobserved components models, edited by Andrew C. Harvey and Tommaso Proietti

Label
Readings in unobserved components models
Title
Readings in unobserved components models
Statement of responsibility
edited by Andrew C. Harvey and Tommaso Proietti
Contributor
Subject
Language
eng
Summary
"This book presents a collection of readings which give the reader an idea of the nature and scope of unobserved components (UC) models and the methods used to deal with them. It contains four parts, three of which concern recent theoretical developments in classical and Bayesian estimation of linear, non-linear, and non-Gaussian UC models, signal extraction and testing, and one is devoted to selected econometric applications." "The book is intended to give a relatively self-contained presentation of the methods and applicative issues. For this purpose, each part comes with an introductory chapter by the editors to provide a unified view of the literature and the many important developments that have occurred in the last years."--BOOK JACKET
Cataloging source
DLC
Dewey number
330/.01/51955
Index
no index present
LC call number
HB141
LC item number
.R393 2005
Literary form
non fiction
Series statement
Advanced texts in econometrics
Label
Readings in unobserved components models, edited by Andrew C. Harvey and Tommaso Proietti
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references and indexes
http://library.link/vocab/branchCode
  • net
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
  • Diagnostic checking of unobserved-components time series models
  • Andrew C. Harvey,
  • Siem Jan Koopman
  • Nonparametric spline regression with autoregressive moving average errors
  • Robert Kohn [and others]
  • PART TWO: UNOBSERVED COMPONENTS IN ECONOMIC TIME SERIES
  • Univariate detrending methods with stochastic trends
  • Mark W. Watson
  • Detrending, stylized facts and the business cycle
  • A.C. Harvey,
  • PART ONE: SIGNAL EXTRACTION AND LIKELIHOOD INFERENCE FOR LINEAR UC MODELS
  • A. Jaeger
  • Stochastic linear trends: models and estimators
  • Augustín Maravall
  • Estimation and seasonal adjustment of population means using data from repeated surveys
  • Danny Pfeffermann
  • The modeling and seasonal adjustment of weekly observations
  • Andrew Harvey [and others]
  • PART THREE: TESTING IN UNOBSERVED COMPONENTS MODELS
  • Testing for deterministic linear trend in time series
  • Jukka Nyblom
  • Prediction theory for autoregressive-moving average processes
  • Are seasonal patterns constant over time? A test for seasonal stability
  • Fabio Canova,
  • Bruce E. Hansen
  • PART FOUR: NON-LINEAR AND NON-GAUSSIAN MODELS
  • Time series models for count or qualitative observations
  • A.C. Harvey,
  • C. Fernandes
  • On Gibbs sampling for state space models
  • C.K. Carter,
  • R. Kohn
  • Peter Burridge,
  • The simulation smoother for time series models
  • Piet De Jong,
  • Neil Shephard
  • Likelihood analysis of non-Gaussian measurement time series
  • Neil Shephard,
  • Michael K. Pitt
  • Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives
  • J. Durbin,
  • S.J. Koopman
  • On sequential Monte Carlo sampling methods for Bayesian filtering
  • Kenneth F. Wallis
  • Arnaud Doucet [and others]
  • Exact initial Kalman filtering and smoothing for nonstationary time series models
  • Siem Jan Koopman
  • Smoothing and interpolation with the state-space model
  • Piet De Jong
Control code
ocn133090039
Dimensions
unknown
Extent
1 online resource (xv, 458 pages)
File format
unknown
Form of item
online
Isbn
9780191515545
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other physical details
illustrations
Quality assurance targets
not applicable
http://library.link/vocab/recordID
.b35970649
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
  • (OCoLC)133090039
  • pebcs019151554X

Library Locations

    • Deakin University Library - Geelong Waurn Ponds CampusBorrow it
      75 Pigdons Road, Waurn Ponds, Victoria, 3216, AU
      -38.195656 144.304955
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