автор: Siem Jan Koopman

This volume presents original and up-to-date studies in unobserved components (UC) time series models from both theoretical and methodological perspectives. It also presents empirical studies where t …

Providing a practical introduction to state space methods as applied to unobserved components time series models, also known as structural time series models, this book introduces time series analysi …

Providing a practical introduction to state space methods as applied to unobserved components time series models, also known as structural time series models, this book introduces time series analysi …

This new edition updates Durbin & Koopman’s important text on the state space approach to time series analysis. The distinguishing feature of state space time series models is that observations are r …

This new edition updates Durbin & Koopman’s important text on the state space approach to time series analysis. The distinguishing feature of state space time series models is that observations are r …

Dynamic factor models (DFM) constitute an active and growing area of research, both in econometrics, in macroeconomics, and in finance. Many applications lie at the center of policy questions raised …