State Space Models

Helmut Lütkepohl

Chapter 18 in New Introduction to Multiple Time Series Analysis, 2005, pp 611-642 from Springer

Abstract: Abstract State space models may be regarded as generalizations of the models considered so far. They have been used extensively in system theory, the physical sciences, and engineering. The terminology is therefore largely from these fields. The general idea behind these models is that an observed (multiple) time series y 1 ,…, y T depends upon a possibly unobserved state z t which is driven by a stochastic process. The relation between y t and z t is described by the observation or measurement equation 18.1.1 % MathType!MTEF!2!1!+- % feaagaart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn % hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr % 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq-Jc9 % vqaqpepm0xbba9pwe9Q8fs0-yqaqpepae9pg0FirpepeKkFr0xfr-x % fr-xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGcbaGaamyEamaaBa % aaleaacaWG0baabeaakiabg2da9iaadIeadaWgaaWcbaGaamiDaaqa % baGccaWG6bWaaSbaaSqaaiaadshaaeqaaOGaey4kaSIaamODamaaBa % aaleaacaWG0baabeaakiaacYcaaaa!4106! $$ y_t = H_t z_t + v_t , $$ where H t is a matrix that may also depend on the period of time, t, and v t is the observation error which is typically assumed to be a noise process.

Keywords: State Vector; State Space Model; Transition Equation; Measurement Equation; Correction Step (search for similar items in EconPapers)
Date: 2005
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-27752-1_18

Ordering information: This item can be ordered from
http://www.springer.com/9783540277521

DOI: 10.1007/978-3-540-27752-1_18

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().