Time series modelling with unobserved components
Despite the unobserved components model (UCM) having many advantages over more popular forecasting techniques based on regression analysis, exponential smoothing, and ARIMA, the UCM is not well known among practitioners outside the academic community. Time Series Modelling with Unobserved Components...
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| Main Author: | |
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| Format: | Book |
| Language: | English |
| Published: |
Boca Raton, FL
CRC Press LLC
[2016]
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| Subjects: | |
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| Summary: | Despite the unobserved components model (UCM) having many advantages over more popular forecasting techniques based on regression analysis, exponential smoothing, and ARIMA, the UCM is not well known among practitioners outside the academic community. Time Series Modelling with Unobserved Components rectifies this deficiency by giving a practical overview of the UCM approach, covering some theoretical details, several applications, and the software for implementing UCMs.The book's first part discusses introductory time series and prediction theory |
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| Physical Description: | xvii, 257 pages illustrations 24 cm |
| Bibliography: | Includes bibliographical references and index |
| ISBN: | 9781482225006 (Hardback) |