An introduction to state space modeling (in Russian)
Quantile, 2011, issue 9, 1-24
Many time series models, primarily various models with unobservable components, can be represented in a so called state space form. A state space model is a powerful tool that allows one to apply to the original model a wide range of standard procedures including estimation and forecasting. This essay provides a survey of this universal class of models and related procedures.
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Persistent link: https://EconPapers.repec.org/RePEc:qnt:quantl:y:2011:i:9:p:1-24
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