Time Series Modelling with Unobserved Components (Record no. 70105)

MARC details
000 -LEADER
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005 - DATE AND TIME OF LATEST TRANSACTION
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008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
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020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9781482225006
082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number 519.55 PEL
Edition number 23
100 ## - MAIN ENTRY--PERSONAL NAME
Personal name Pelagatti, Matteo M.
245 #0 - TITLE STATEMENT
Statement of responsibility, etc / Matteo M. Pelagatti.
Title Time Series Modelling with Unobserved Components
250 ## - EDITION STATEMENT
Edition statement First edition.
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Place of publication, distribution, etc Boca Raton, Florida :
Name of publisher, distributor, etc Chapman & Hall/CRC Press ,
Date of publication, distribution, etc 2015.
300 ## - PHYSICAL DESCRIPTION
Extent xv, 275 p. :
Other physical details illustrations, tables ;
Dimensions 24 cm.
520 ## - SUMMARY, ETC.
Summary, etc Time Series Modelling with Unobserved Components provides a comprehensive introduction to the Unobserved Components Model (UCM) approach for analysing and forecasting time series data. Written by Matteo M. Pelagatti, the book bridges statistical theory and practical application, making advanced state-space modelling techniques accessible to students, researchers, economists, and data analysts. The book begins with the fundamentals of statistical prediction and classical time series concepts, including stationarity, ARIMA models, and forecasting principles. It then develops the UCM framework by explaining how observed time series can be decomposed into underlying components such as trend, seasonal variation, cyclical movements, and irregular fluctuations. The text introduces the state-space representation of these models and explains estimation using the Kalman filter and smoothing algorithms. The later chapters focus on practical modelling strategies, intervention analysis, regression with time-varying coefficients, missing observations, outlier detection, and real-world applications such as business cycle analysis and economic forecasting. The author also reviews statistical software packages that support UCM estimation, enabling readers to implement these techniques in practice. The book is especially valuable for postgraduate students and professionals in statistics, econometrics, finance, economics, engineering, and data science.
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Forecasting.
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Mathematical statistics.
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element State-space methods.
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Time-series analysis.
942 ## - ADDED ENTRY ELEMENTS (KOHA)
Koha item type VC Office Books
Holdings
Withdrawn status Lost status Source of classification or shelving scheme Damaged status Not for loan Home library Current library Date acquired Total Checkouts Full call number Barcode Date last seen Price effective from Koha item type Public note
    Dewey Decimal Classification   Not For Loan SNU LIBRARY SNU LIBRARY 30/06/2026   519.55 PEL VC534 30/06/2026 30/06/2026 VC Office Books Books Received from VC office
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