Forecasting, Structural Time Series Models & the Kalman Filter
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This book provides a synthesis of concepts and materials that ordinarily appear separately in time series and 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.
A. C. Harvey
Born on November 19, 1922 in Mount Vernon, New York, Mark Harris received a doctorate in American studies at the University of Minnesota in 1956. He has taught in the language arts departments of San Francisco State College, Purdue University, the California Institute of the Arts, Immaculate Heart College in Los Angeles, the University of Southern California, and the University of Pittsburgh. Currently, he is professor of English at Arizona State University, Tempe. Mark Harris is a member of the Authors Guild, the Writers Guild of America, and the Dramatists Guild. He has written numerous novels, nonfiction works, dramatic works, articles, reviews, and essays. Mark Harris married the former Josephine Horen, and they have three children: Hester Jill, Anthony Wynn, and Henry Adam.
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