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J. Durbin, A. C. Harvey, S. J. Koopman, Neil Shephard

State Space and Unobserved Component Models: Theory and Applications : Proceedings of a Conference in Honour of James Durbin

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ISBN: 052183595X, 9780521835954
Издательство: Cambridge University Press
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.