A synthesis of concepts and materials, that ordinarily appear separately in time series and econometrics literature, presents a comprehensive review of theoreti

In this book, Andrew Harvey sets out to provide a unified and comprehensive theory of structural time series models. Unlike the traditional ARIMA models, struct

This book provides a synthesis of concepts and materials that ordinarily appear separately in time series and econometrics literature, presenting a comprehensiv

A companion volume to The Econometric Analysis of Time series, this book focuses on the estimation, testing and specification of dynamic models which are not ba

Stationary stochastic process and their properties in the time domain; The frequency domain; State space models and the kalman filter; Estimation of autoregress