Jump to ContentJump to Main Navigation
Time Series Analysis by State Space MethodsSecond Edition$
Users without a subscription are not able to see the full content.

James Durbin and Siem Jan Koopman

Print publication date: 2012

Print ISBN-13: 9780199641178

Published to Oxford Scholarship Online: December 2013

DOI: 10.1093/acprof:oso/9780199641178.001.0001

Show Summary Details
Page of

PRINTED FROM OXFORD SCHOLARSHIP ONLINE (oxford.universitypressscholarship.com). (c) Copyright Oxford University Press, 2022. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in OSO for personal use.date: 28 January 2022

Linear state space models

Linear state space models

(p.43) 3 Linear state space models
Time Series Analysis by State Space Methods

J. Durbin

S.J. Koopman

Oxford University Press

This chapter shows how structural time series models can be put into state space form. It puts Box-Jenkins ARIMA models into state space form, thus demonstrating that these models are special cases of state space models. It discusses the history of exponential smoothing and shows how it relates to simple forms of state space and ARIMA models. It considers various aspects of regression with or without time-varying coefficients or autocorrelated errors. It also presents a treatment of dynamic factor analysis. Further topics discussed include simultaneous modelling series from different sources, benchmarking, continuous time models, and spline smoothing in discrete and continuous time.

Keywords:   state space analysis, time series analysis, spline smoothing analysis

Oxford Scholarship Online requires a subscription or purchase to access the full text of books within the service. Public users can however freely search the site and view the abstracts and keywords for each book and chapter.

Please, subscribe or login to access full text content.

If you think you should have access to this title, please contact your librarian.

To troubleshoot, please check our FAQs , and if you can't find the answer there, please contact us .