State-Space Models and the Kalman Filter

Klaus Neusser ()

Chapter 17 in Time Series Econometrics, 2016, pp 325-352 from Springer

Abstract: Abstract The state space representation is a flexible technique originally developed in automatic control engineering to represent, model, and control dynamic systems. Thereby we summarize the unobserved or partially observed state of the system in period t by an m-dimensional vector X t . The evolution of the state is then described by a VAR of order one usually called the state equation. A second equation describes the connection between the state and the observations given by a n-dimensional vector Y t .

Keywords: Kalman Filter; State Space Model; Observation Equation; Cyclical Component; Seasonal Component (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-319-32862-1_17

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DOI: 10.1007/978-3-319-32862-1_17

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