A. C. Harvey Books
Readings in Unobserved Components Models (Advanced Texts in Econometrics)
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"This book presents a collection of readings which give the reader an idea of the nature and scope of unobserved components (UC) models and the methods used to deal with them. It contains four part...
Read MoreForecasting structural time series models and the Kalman filter
By A. C. Harvey
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 expli...
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