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  • Cited by 60
Publisher:
Cambridge University Press
Online publication date:
January 2010
Print publication year:
2004
Online ISBN:
9780511617010

Book description

This 2004 volume offers a broad overview of developments in the theory and applications of state space modeling. With fourteen chapters from twenty-three contributors, it offers a unique synthesis of state space methods and unobserved component models that are important in a wide range of subjects, including economics, finance, environmental science, medicine and engineering. The book is divided into four sections: introductory papers, testing, Bayesian inference and the bootstrap, and applications. It will give those unfamiliar with state space models a flavour of the work being carried out as well as providing experts with valuable state of the art summaries of different topics. Offering a useful reference for all, this accessible volume makes a significant contribution to the literature of this discipline.

Reviews

Review of the hardback:'There is much in this book, and I would heartily recommend it to specialists and librarians. I know of no other comparable text.'

Source: Journal of the Royal Statistical Society

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