State Space Modeling of Time Series

Genshiro Kitagawa
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Genshiro Kitagawa: The Institute of Statistical Mathematics

Chapter 3 in Proceedings of the First US/Japan Conference on the Frontiers of Statistical Modeling: An Informational Approach, 1994, pp 43-62 from Springer

Abstract: Summary The state space model method for time series analysis is shown in this paper. Most of the standard time series models such as the AR or ARMA models can be expressed by the state space model. Further, various types of constraints on the parameter of the model can be conveniently incorporated in the state space model. Therefore, various types of nonstationary time series models can be handled by using the state space model.

Keywords: Kalman Filter; Time Series Model; State Space Model; ARMA Model; Seasonal Adjustment (search for similar items in EconPapers)
Date: 1994
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-94-011-0866-9_4

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DOI: 10.1007/978-94-011-0866-9_4

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