Forecasting, Structural Time Series Models and the Kalman Filter Review

Average Reviews:

(More customer reviews)This is the book that I've been looking for on State Space approaches to Time Series. As I was reading it, I was struck by how well written it is. It really puts almost all of my recent reading (on any topic) to shame. It's like being around a master craftsman who communicates well and really understands his stuff: it's striking.
The only negative thing I can say about it is that he introduces a lot of notation that builds on previous notation and it's not always easy to figure out where they first use a notation if you somehow missed or skipped that section. Other than that, he has good proofs, yet also a great writing style and good examples that they revisit through the book.

Click Here to see more reviews about: Forecasting, Structural Time Series Models and the Kalman Filter

This book provides a synthesis of concepts and materials that ordinarily appear separately in time seriesand 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 Kalman filter play a key role in the statistical treatment of structural time series models.This technique was originally developed in control engineering but is becoming increasingly important in economics and operations research. The book is primarily concerned with modeling economic and social time series and with addressing the special problems that the treatment of such series pose.

Get 16% OFF

Click here for more information about Forecasting, Structural Time Series Models and the Kalman Filter