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Introduction; 2. State space models and the Kalman filter; 4. Testing and model selection; 6. Extensions of the univariate model; 7. Explanatory variables; 8. Multivariate models; 9. '… if you're looking for a state of the art monograph on applied aspects of state-space representations, and Kalman filtering … then Harvey's book is required reading.'.
When you click on links to various merchants on this site and make a purchase, this can result in this site earning a commission. Affiliate programs and affiliations include, but are not limited to, the eBay Partner Network.