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State Space and Unobserved Component Models: Theory and Applications Book

State Space and Unobserved Component Models: Theory and Applications
State Space and Unobserved Component Models: Theory and Applications, , State Space and Unobserved Component Models: Theory and Applications has a rating of 3 stars
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State Space and Unobserved Component Models: Theory and Applications, , State Space and Unobserved Component Models: Theory and Applications
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  • State Space and Unobserved Component Models: Theory and Applications
  • Written by author Andrew C. Harvey
  • Published by Cambridge University Press, June 2004
  • A comprehensive overview of the latest developments in the theory and application of state space modeling.
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Book Categories

Authors

Pt. IState space models1
1Introduction to state space time series analysis3
2State structure, decision making and related issues26
3An introduction to particle filters40
Pt. IITesting73
4Frequency domain and wavelet-based estimation for long-memory signal plus noise models75
5A goodness-of-fit test for AR(1) models and power against state space alternatives92
6Tests for cycles102
Pt. IIIBayesian inference and bootstrap121
7Efficient Bayesian parameter estimation123
8Empirical Bayesian inference in a nonparametric regression model152
9Resampling in state space models171
Pt. IVApplications203
10Measuring and forecasting financial variability using realised variance205
11Practical filtering for stochastic volatility models236
12On RegComponent time series models and their applications248
13State spaces modelling in macroeconomics and finance using SsfPack in S+Finmetrics284
14Finding genes in the human genome with hidden Markov models336


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