Harvey A., Koopman S.J., Shephard N. (eds.) State Space and Unobserved Component Models: Theory and Applications

Cambridge: Cambridge University Press, 2004. — 394 p.Offering a broad overview of the state-of-the-art developments in the theory and applications of state space modeling, fourteen chapters from twenty-three contributors present a unique synthesis of state space methods and unobserved component models important in a wide range of subjects. They include economics, finance, environmental science, medicine and engineering. A useful reference for all researchers and students who use state space methodology, this accessible volume makes a significant contribution to the advancement of the discipline.