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An introduction to state space modeling (in Russian)

Alexander Tsyplakov

Quantile, 2011, issue 9, 1-24

Abstract: 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.

Date: 2011
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