ID - 24935193 TI - Forecasting, structural time series models, and the Kalman filter PY - 1989 SN - 0521405734 0521321964 1139881744 1107713013 1107714559 1107049997 1107715903 1107712661 1107720036 9780521405737 9781107720039 9781107049994 9781107715905 9781107714557 9780521321969 PB - Cambridge Cambridge University Press DB - UniCat KW - Time-series analysis KW - Mathematical statistics KW - Kalman filtering KW - Kalman, filtrage de KW - Série chronologique KW - Time-series analysis. KW - Kalman filtering. KW - Filtering, Kalman KW - Analysis of time series KW - Control theory KW - Estimation theory KW - Prediction theory KW - Stochastic processes KW - Autocorrelation (Statistics) KW - Harmonic analysis KW - Probabilities KW - 304.5 KW - 305.974 KW - AA / International- internationaal KW - Techniek van de statistische-econometrische voorspellingen. Prognose in de econometrie KW - Time varying coefficients. Kalman Filter KW - Séries chronologiques KW - Economic forecasting KW - Prévision économique KW - Time series analysis UR - https://www.unicat.be/uniCat?func=search&query=sysid:24935193 AB - 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 natural way in which the models can be extended to include explanatory variables and to cope with multivariate time series. From the technical point of view, state space models and the Kalman filter play a key role in the statistical treatment of structural time series models. The book includes a detailed treatment of the Kalman filter. This technique was originally developed in control engineering, but is becoming increasingly important in fields such as economics and operations research. This book is concerned primarily with modelling economic and social time series, and with addressing the special problems which the treatment of such series poses. The properties of the models and the methodological techniques used to select them are illustrated with various applications. These range from the modellling of trends and cycles in US macroeconomic time series to to an evaluation of the effects of seat belt legislation in the UK. ER -