Pelagatti M.M. Time series modelling with unobserved components

New York: CRC Press, 2015. - 274p.The first one covers propaedeutic time series and prediction theory, which the reader acquainted with time series analysis can skip. Unlike many other books on time series, I put the chapter on prediction at the beginning, because the problem of predicting is not limited to the field of time series analysis. The second part introduces the UCM, presents the state space form and the related algorithms, and provides practical modelling strategies to build and select the UCM which best fits the needs of the time series analyst. The third part presents some real-world applications with a chapter that focusses on business cycle analysis. Despite the seemingly economic-centric scope of the business cycle chapter, its content centres on the construction of band-pass filters using UCM, and this has obvious applications in many other fields. The last chapter reviews software packages that offer ready-to-use procedures for UCM and systems that are popular among statisticians and econometricians and that allow general estimation of models in state space form.