State Space Models of Time Series

Tomas Cipra ()
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Tomas Cipra: Charles University, Faculty of Mathematics and Physics

Chapter Chapter 14 in Time Series in Economics and Finance, 2020, pp 373-390 from Springer

Abstract: Abstract Kalman filter presents a theoretical background for various recursive methods in (linear) systems, particularly in (multivariate) time series models. In general, one speaks on so-called Kalman (or Kalman–Bucy) recursions for filtering, predicting, and smoothing in the framework of so-called state space model; see, e.g., Brockwell and Davis (1993, 1996), Durbin and Koopman (2012), Hamilton (1994), Harvey (1989), and others.

Date: 2020
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DOI: 10.1007/978-3-030-46347-2_14

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