||5 of 5 people found the following review helpful.| A useful class of models|By Glenn Richards|This book provides a solid and comprehensive overview of a useful class of mathematical models, which can be used in forecasting and time series analysis. Possibly the main strength of the book is that it delves with areas which have rarely been addressed in textbooks. Among them: it deals with the concepts of stochastic trends &nda||"A well-written book by an author who has made numerous important contributions to the literature of forecasting, time series, and Kalman filters. It is a practical book in the sense that it not only discusses the definitions, interpretations, and analyses of
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 natu...
[PDF.ew55] Forecasting, Structural Time Series Models and the Kalman Filter Rating: 3.82 (733 Votes)
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