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Forecasting, Structural Time Series Models and the Kalman Filter
Abstract
List of figures Acknowledgement Preface Notation and conventions List of abbreviations 1. Introduction 2. Univariate time series models 3. State space models and the Kalman filter 4. Estimation, prediction and smoothing for univariate structural time series models 5. Testing and model selection 6. Extensions of the univariate model 7. Explanatory variables 8. Multivariate models 9. Continuous time Appendices Selected answers to exercises References Author index Subject index.
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Cited by
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A protocol for data exploration to avoid common statistical problems: Data exploration
Zuur, A. F., Ieno, E. N., & Elphick, C. S. (2010) · Methods in Ecology and Evolution · doi:10.1111/j.2041-210x.2009.00001.x · Cited by 8,228
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Floyd, S., & Jacobson, V. (1993) · IEEE/ACM Transactions on Networking · doi:10.1109/90.251892 · Cited by 6,290
Generalized additive models for location, scale and shape.
Rigby, R. A., & Stasinopoulos, D. M. (2005) · Journal of the Royal Statistical Society Series C: Applied Statistics · doi:10.1111/j.1467-9876.2005.00510.x · Cited by 3,228
The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging
SCHWARTZ, E. S. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb02721.x · Cited by 2,113
Metadata
- Authors
- Fildes, R., Harvey, A. C., West, M., & Harrison, J.
- Venue
- The Journal of the Operational Research Society
- Publisher
- JSTOR
- Published
- 1991-11
- Volume
- 42
- Issue
- 11
- Pages
- 1031
- ISSN
- 0160-5682 (ISSN-L)
- OpenAlex
- W2571446175
- Cited by
- 4,682
- References
- 0
- FWCI
- 53.55
- Type
- journal article
- Language
- en
- Open access
- closed
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- Fildes, R., Harvey, A. C., West, M., & Harrison, J. (1991). Forecasting, Structural Time Series Models and the Kalman Filter. The Journal of the Operational Research Society. https://doi.org/10.2307/2583225
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
