Statistical Software for State Space Methods

Statistical Software for State Space Methods

In this paper we review the state space approach to time series analysis and establish the notation that is adopted in this special volume of the Journal of Statistical Software. We first provide some background on the history of state space methods for the analysis of time series. This is followed...

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Bibliographic Details
Main Authors: Jacques J. F. Commandeur, Siem Jan Koopman, Marius Ooms
Format: Article
Language:English
Published: Foundation for Open Access Statistics 2011-05-01
Series:Journal of Statistical Software
Subjects:
ARMA model
Kalman filter
state space methods
unobserved components
software tools
Online Access:http://www.jstatsoft.org/v41/i01/paper

Internet

http://www.jstatsoft.org/v41/i01/paper

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