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Time Series Analysis by State Space Methods

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Time Series Analysis by State Space Methods
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S. J. KoopmanJ. Durbin1 editions

This is a comprehensive treatment of the state space approach to time series analysis. A distinguishing feature of state space time series models is that observations are regarded as made up of distinct components, which are each modelled separately.

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2 credited authorsSearch language english

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  • S. J. Koopman

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  • J. Durbin

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