Andrew C. Harvey: Forecasting, Structural Time Series Models and the Kalman Filter
Скачать книгу (размер 2 911 Kb , формат fb2, страниц 572) Аннотация: This book provides a synthesis of concepts and materials that ordinarily appear separately in time series and econometrics literature, presenting a comprehensive review of both theoretical and applied concepts. Perhaps the most novel feature of the book is its use of Kalman filtering together with econometric and time series methodology. From a technical point of view, state space models and the…