State space and unobserved component models: theory and applications ; [proceedings of a conference in honour of James Durbin]
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
New York
Cambridge University Press
2004
|
| Ausgabe: | 1. publ. |
| Schlagworte: | |
| Online-Zugang: | Publisher description Table of contents Inhaltsverzeichnis |
| Beschreibung: | Includes bibliographical references and indexes. |
| Beschreibung: | XIV, 380 S. graph. Darst. |
| ISBN: | 052183595X |
Internformat
MARC
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| 250 | |a 1. publ. | ||
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| 856 | 4 | |u http://www.loc.gov/catdir/toc/cam041/2003063508.html |3 Table of contents | |
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Datensatz im Suchindex
| _version_ | 1804132875137712129 |
|---|---|
| adam_text | Contents
Preface
page vii
Acknowledgements
xiv
Part I State space models
1
1
Introduction to state space time series analysis James
Durbin
3
2
State structure, decision making and related issues Peter Whittle
26
3
An introduction to particle filters Simon Maskell
40
Part II Testing
73
4
Frequency domain and wavelet-based estimation for
long-memory signal plus noise models Katsuto Tanaka
75
5
A goodness-of-fit test for AR(1) models and power against
state space alternatives T. W. Anderson and
Michael A. Stephens
92
6
Tests for cycles Andrew C. Harvey
102
Part III Bayesian inference and bootstrap
121
7
Efficient Bayesian parameter estimation
Sylvia Friihwirth-Schnatter
123
8
Empirical Bayesian inference in a nonparametric regression
model Gary
Koop
and Dale
Poirier
152
9
Resampling in state space models David S.
Stoffer
and
Kent D. Wall
171
Part IV Applications
203
10
Measuring and forecasting financial variability using realised
variance
Ole E.
Barndorff-Nielsen. Bent
Nielsen. Neil
Shephard and Carla Ysusi 205
11
Practical filtering for stochastic volatility models Jonathon
R. Stroud, Nicholas G. Poison and Peter
Müller 236
vi
Contents
12
On RegComponent time series models and their
applications William R. Bell
248
13
State space modelling in macroeconomics and finance using
SsfPack in S+Finmetrics Eric Zivot, Jeffrey Wang and
Siem
Jan Koopman
284
14
Finding genes in the human genome with hidden Markov
models Richard
Durbin
336
References
351
Author index
373
Subject index
377
|
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| indexdate | 2024-07-09T19:59:46Z |
| institution | BVB |
| isbn | 052183595X |
| language | English |
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| spelling | State space and unobserved component models theory and applications ; [proceedings of a conference in honour of James Durbin] edited by Andrew Harvey ... 1. publ. New York Cambridge University Press 2004 XIV, 380 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Includes bibliographical references and indexes. Zustandsraum (DE-588)4132647-7 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf (DE-588)1071861417 Konferenzschrift 2002 Amsterdam gnd-content Zeitreihenanalyse (DE-588)4067486-1 s Zustandsraum (DE-588)4132647-7 s DE-604 Harvey, Andrew Sonstige oth http://www.loc.gov/catdir/description/cam041/2003063508.html Publisher description http://www.loc.gov/catdir/toc/cam041/2003063508.html Table of contents Digitalisierung TU Muenchen application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012876113&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | State space and unobserved component models theory and applications ; [proceedings of a conference in honour of James Durbin] Zustandsraum (DE-588)4132647-7 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| subject_GND | (DE-588)4132647-7 (DE-588)4067486-1 (DE-588)1071861417 |
| title | State space and unobserved component models theory and applications ; [proceedings of a conference in honour of James Durbin] |
| title_auth | State space and unobserved component models theory and applications ; [proceedings of a conference in honour of James Durbin] |
| title_exact_search | State space and unobserved component models theory and applications ; [proceedings of a conference in honour of James Durbin] |
| title_full | State space and unobserved component models theory and applications ; [proceedings of a conference in honour of James Durbin] edited by Andrew Harvey ... |
| title_fullStr | State space and unobserved component models theory and applications ; [proceedings of a conference in honour of James Durbin] edited by Andrew Harvey ... |
| title_full_unstemmed | State space and unobserved component models theory and applications ; [proceedings of a conference in honour of James Durbin] edited by Andrew Harvey ... |
| title_short | State space and unobserved component models |
| title_sort | state space and unobserved component models theory and applications proceedings of a conference in honour of james durbin |
| title_sub | theory and applications ; [proceedings of a conference in honour of James Durbin] |
| topic | Zustandsraum (DE-588)4132647-7 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| topic_facet | Zustandsraum Zeitreihenanalyse Konferenzschrift 2002 Amsterdam |
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