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Time Series Analysis by State Space Methods: Second Edition

James Durbin and Siem Jan Koopman

Published in print:
2012
Published Online:
December 2013
ISBN:
9780199641178
eISBN:
9780191774881
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199641178.001.0001
Subject:
Mathematics, Probability / Statistics

This book presents a comprehensive treatment of the state space approach to time series analysis. The distinguishing feature of state space time series models is that observations are regarded as ... More


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