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Special cases of nonlinear and non-Gaussian models

J. Durbin and S.J. Koopman

in Time Series Analysis by State Space Methods: Second Edition

Published in print:
2012
Published Online:
December 2013
ISBN:
9780199641178
eISBN:
9780191774881
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199641178.003.0009
Subject:
Mathematics, Probability / Statistics

This chapter discusses the range of non-Gaussian and nonlinear models that can be analysed using the methods of Part II. The chapter is organized as follows. Section 9.2 considers an important ... More


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