Forecasting, structural time series models and the Kalman filter. From an initial draft of the introduction.

Author(s)
Harvey, A.C.
Year
Abstract

There are two reasons for wishing to model a univariate time series. The first one is to provide a description of the series in terms of its components of interest. The other motive is the prediction of future observations. A structural time series model is one which is set up in terms of components which have a direct interpretation. The principle structural time series model are regression models in which the explanatory variables are functions of time and the parameters are time- varying.

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Publication

Library number
B 27073 fo /10 /71 /
Source

Cambridge, Cambridge University Press, [1989], 17 p.

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