- Title Pages
- Dedication
- Preface to Second Edition
- Preface to First Edition
-
1 Introduction -
Part I The linear state space model -
2 Local level model -
3 Linear state space models -
4 Filtering, smoothing and forecasting -
5 Initialisation of filter and smoother -
6 Further computational aspects -
7 Maximum likelihood estimation of parameters -
8 Illustrations of the use of the linear model -
Part II Non-Gaussian and nonlinear state space models -
9 Special cases of nonlinear and non-Gaussian models -
10 Approximate filtering and smoothing -
11 Importance sampling for smoothing -
12 Particle filtering -
13 Bayesian estimation of parameters -
14 Non-Gaussian and nonlinear illustrations - References
- Author Index
- Subject Index
Introduction
Introduction
- Chapter:
- (p.1) 1 Introduction
- Source:
- Time Series Analysis by State Space Methods
- Author(s):
J. Durbin
S.J. Koopman
- Publisher:
- Oxford University Press
This introductory chapter provides an overview of the main themes covered in the present book, namely linear Gaussian state space models and non-Gaussian and nonlinear state space models. It also describes the notations used and other books on state space methods.
Keywords: linear Gaussian state space models, nonlinear state space models, non-Gaussian models, state space methods
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- Title Pages
- Dedication
- Preface to Second Edition
- Preface to First Edition
-
1 Introduction -
Part I The linear state space model -
2 Local level model -
3 Linear state space models -
4 Filtering, smoothing and forecasting -
5 Initialisation of filter and smoother -
6 Further computational aspects -
7 Maximum likelihood estimation of parameters -
8 Illustrations of the use of the linear model -
Part II Non-Gaussian and nonlinear state space models -
9 Special cases of nonlinear and non-Gaussian models -
10 Approximate filtering and smoothing -
11 Importance sampling for smoothing -
12 Particle filtering -
13 Bayesian estimation of parameters -
14 Non-Gaussian and nonlinear illustrations - References
- Author Index
- Subject Index
